Option valuation with normal mixture GARCH models

DOI10.2202/1558-3708.1580MaRDI QIDQ3574718zbMATH OpenOpenAlexFDO

Authors Reg J. Kulperger, Emese Lazar, Alexandru Badescu

Publication date 2 July 2010

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1580

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cited in

(13)

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• Option pricing with conditional GARCH models
• Option valuation with IG-GARCH model and a U-shaped pricing kernel
• Volatility components, affine restrictions, and nonnormal innovations
• Non-Gaussian GARCH option pricing models and their diffusion limits
• Option pricing based on a log-skew-normal mixture
• Analytic valuation of GMDB options with utility based asset allocation
• THE VALUATION OF EXECUTIVE STOCK OPTIONS UNDER GARCH MODELS
• Model risk of the implied GARCH-normal model
• A long memory model with normal mixture GARCH
• Esscher transforms and consumption-based models
• Finite mixture models for option pricing: an application to Bitcoin options
• GARCH option pricing: A semiparametric approach

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