Smoothly truncated stable distributions, GARCH-models, and option pricing

DOI10.1007/S00186-008-0245-6MaRDI QIDQ1028530zbMATH OpenOpenAlexFDO

Authors Christian Menn, Svetlozar T. Rachev

Publication date 6 July 2009

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00186-008-0245-6

zbMATH Keywords

option pricingdiscrete-time modelsnon-Gaussian GARCH modelsincomplete financial markets

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A GARCH option pricing model with \(\alpha\)-stable innovations
• An empirical comparison of GARCH option pricing models
• Asymptotic distribution of the EMS option price estimator
• Augmented GARCH\((p,q)\) process and its diffusion limit
• Empirical martingale simulation for asset prices
• Stationarity of GARCH processes and of some nonnegative time series
• THE GARCH OPTION PRICING MODEL

Cited in

(12)

• Option pricing and hedging under a stochastic volatility Lévy process model
• scientific article; zbMATH DE number 5002302 (Why is no real title available?)
• Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research
• Option pricing in a conditional bilateral Gamma model
• Multilevel Monte Carlo implementation for SDEs driven by truncated stable processes
• The GARCH-stable option pricing model
• On simulating truncated stable random variables
• GARCH option pricing models with Meixner innovations
• A GARCH option pricing model with \(\alpha\)-stable innovations
• GARCH option pricing: A semiparametric approach
• scientific article; zbMATH DE number 5566166 (Why is no real title available?)
• Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models

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