Smoothly truncated stable distributions, GARCH-models, and option pricing
DOI10.1007/S00186-008-0245-6zbMATH Open1166.91022OpenAlexW2063799029MaRDI QIDQ1028530FDOQ1028530
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
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)
Cites Work
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Cited In (11)
- 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
- On simulating truncated stable random variables
- The GARCH-stable option pricing model
- GARCH option pricing models with Meixner innovations
- GARCH option pricing: A semiparametric approach
- Title not available (Why is that?)
- Multilevel Monte Carlo Implementation for SDEs Driven by Truncated Stable Processes
- Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models
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