Option valuation with conditional skewness
From MaRDI portal
Recommendations
- A non-Gaussian option pricing model with skew
- Option-implied skewness: insights from ITM-options
- Option pricing based on a log-skew-normal mixture
- Option pricing with conditional GARCH models
- Hedging conditional value at risk with options
- Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
- Pricing VIX options with stochastic skew and asymmetric jumps
- Option valuation with infinitely divisible distributions
Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- ARCH models as diffusion approximations
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Empirical option pricing: A retrospection
- scientific article; zbMATH DE number 699423 (Why is no real title available?)
- Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates
- Modeling volatility persistence of speculative returns: a new approach
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Option valuation with infinitely divisible distributions
- Post-'87 crash fears in the S\&P 500 futures option market
- The dynamics of stochastic volatility: evidence from underlying and options markets
- THE GARCH OPTION PRICING MODEL
- The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
- The pricing of options and corporate liabilities
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(42)- Recursive estimation for continuous time stochastic volatility models
- Implied volatility and skewness surface
- Bayesian option pricing using mixed normal heteroskedasticity models
- Linking Tukey's legacy to financial risk measurement
- GARCH option pricing models with Meixner innovations
- Option pricing with discrete time jump processes
- Option pricing with conditional GARCH models
- Combination of transition probability distribution and stable Lorentz distribution in stock markets
- Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
- The behavioral implications of the bilateral gamma process
- Option valuation with IG-GARCH model and a U-shaped pricing kernel
- Model-based pricing for financial derivatives
- Option pricing with non-Gaussian scaling and infinite-state switching volatility
- COMFORT: a common market factor non-Gaussian returns model
- A discrete-time hedging framework with multiple factors and fat tails: on what matters
- Fourier inversion formulas for multiple-asset option pricing
- Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data
- Learning for infinitely divisible GARCH models in option pricing
- Models for stock returns
- Option pricing for GARCH-type models with generalized hyperbolic innovations
- Pricing Asian options in affine GARCH models
- Option pricing in a conditional bilateral Gamma model
- A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
- PRICING AUSTRALIAN S&P200 OPTIONS: A BAYESIAN APPROACH BASED ON GENERALIZED DISTRIBUTIONAL FORMS
- Derivation of Kurtosis and Option Pricing Formulas for Popular Volatility Models with Applications in Finance
- Value at risk with time varying variance, skewness and kurtosis-the NIG-ACD model
- US stock returns: are there seasons of excesses?
- Skewness term-structure tests
- A note on skewness and kurtosis adjusted option pricing models under the martingale restriction
- A non-Gaussian option pricing model with skew
- Option valuation with infinitely divisible distributions
- Lattice-based hedging schemes under GARCH models
- Expected utility theory on general affine GARCH models
- COMPUTATIONAL METHOD FOR PROBABILITY DISTRIBUTION ON RECURSIVE RELATIONSHIPS IN FINANCIAL APPLICATIONS
- Variance swaps valuation under non-affine GARCH models and their diffusion limits
- Model risk of the implied GARCH-normal model
- An efficient unified approach for spread option pricing in a copula market model
- A new bivariate approach for modeling the interaction between stock volatility and interest rate: an application to S\&P500 returns and options
- Optimal consumption and investment in general affine GARCH models
- Generalized Autoregressive Positive-valued Processes
- Calibration of GARCH models using concurrent accelerated random search
- GARCH option pricing: A semiparametric approach
This page was built for publication: Option valuation with conditional skewness
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q292018)
