Option pricing under autoregressive random variance models

DOI10.1080/10920277.2006.10596248MaRDI QIDQ5018717zbMATH OpenOpenAlexFDO

Authors Tak Kuen Siu

Publication date 22 December 2021

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2006.10596248

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Option pricing under threshold autoregressive models by threshold Esscher transform
• Stochastic volatility models with application in option pricing
• ARBITRAGE-FREE OPTION PRICING MODELS
• Multivariate modelling of the autoregressive random variance process
• Option Pricing in ARCH-type Models

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
• A comparison of two quadratic approaches to hedging in incomplete markets
• A Discrete Time Equivalent Martingale Measure
• A general version of the fundamental theorem of asset pricing
• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• A Risk-Neutral Stochastic Volatility Model
• A stochastic calculus model of continuous trading: Complete markets
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Complete Models with Stochastic Volatility
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Contingent claims and market completeness in a stochastic volatility model.
• Dynamic programming and mean-variance hedging
• Exponential Hedging and Entropic Penalties
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 1222796 (Why is no real title available?)
• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• scientific article; zbMATH DE number 2230347 (Why is no real title available?)
• scientific article; zbMATH DE number 2243787 (Why is no real title available?)
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Mean-variance hedging for general claims
• Mean-variance hedging for stochastic volatility models
• Mean-variance hedging in continuous time
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• On Esscher Transforms in Discrete Finance Models
• On the fundamental theorem of asset pricing with an infinite state space
• Stochastic Volatility for Lévy Processes
• STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
• THE GARCH OPTION PRICING MODEL
• The Price Variability-Volume Relationship on Speculative Markets

Cited in

(6)

• Empirical assessment of an intertemporal option pricing model with latent variables.
• Option pricing under threshold autoregressive models by threshold Esscher transform
• Pricing of triggered financial products in the ARIMA model with time-varying volatility
• Pricing annuity guarantees under a regime-switching model
• Option pricing under stochastic volatility models with latent volatility
• Variance dynamics: joint evidence from options and high-frequency returns

This page was built for publication: Option pricing under autoregressive random variance models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5018717)