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

DOI10.1007/S00186-008-0245-6zbMATH Open1166.91022OpenAlexW2063799029MaRDI QIDQ1028530FDOQ1028530

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

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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)

Cites Work

• Title not available (Why is that?)
• Augmented GARCH\((p,q)\) process and its diffusion limit
• Title not available (Why is that?)
• Stationarity of GARCH processes and of some nonnegative time series
• THE GARCH OPTION PRICING MODEL
• An empirical comparison of GARCH option pricing models
• Empirical martingale simulation for asset prices
• A GARCH option pricing model with \(\alpha\)-stable innovations
• Asymptotic distribution of the EMS option price estimator

Cited In (12)

• Option pricing and hedging under a stochastic volatility Lévy process model
• Title not available (Why is that?)
• 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
• On simulating truncated stable random variables
• The GARCH-stable option pricing model
• GARCH option pricing models with Meixner innovations
• A GARCH option pricing model with \(\alpha\)-stable innovations
• GARCH option pricing: A semiparametric approach
• Title not available (Why is that?)
• Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models

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