The GARCH-stable option pricing model

DOI10.1016/S0895-7177(01)00127-3zbMATH Open1008.91048MaRDI QIDQ1600540FDOQ1600540

Authors: H. A. Hauksson, Svetlozar T. Rachev 

Publication date: 13 June 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

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zbMATH Keywords

option pricingstable distributionsGARCH-stable processeslocally risk-neutral valuation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
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• THE GARCH OPTION PRICING MODEL
• On the Stable Paretian Behavior of Stock-Market Prices
• Stable GARCH models for financial time series
• Option pricing for a logstable asset price model

Cited In (33)

• Locally risk-neutral valuation of options in GARCH models based on variance-gamma process
• Option pricing for GARCH-type models with generalized hyperbolic innovations
• Pricing claims under GARCH-level dependent interest rate processes
• Option pricing for historical filtering on Levy processes driven by GARCH
• American option pricing under GARCH diffusion model: an empirical study
• Pricing accelerated simulation theory of generalized autoregressive conditional heteroskedasticity model
• Pricing SSE 50ETF option under GARCH model with generalized hyperbolic innovations
• Model-based pricing for financial derivatives
• GARCH options via local risk minimization
• An empirical comparison of GARCH option pricing models
• Title not available (Why is that?)
• A NUMERICAL METHOD FOR PRICING AMERICAN-STYLE ASIAN OPTIONS UNDER GARCH MODEL
• THE VALUATION OF EXECUTIVE STOCK OPTIONS UNDER GARCH MODELS
• GARCH option pricing models with Meixner innovations
• Option pricing with ARIMA-GARCH models of underlying asset returns
• A GARCH option pricing model with \(\alpha\)-stable innovations
• Smoothly truncated stable distributions, GARCH-models, and option pricing
• Option pricing for infinite variance data
• GARCH option pricing: A semiparametric approach
• Title not available (Why is that?)
• An option pricing formula for the GARCH diffusion model
• A Black-Scholes model with GARCH volatility
• Volatility components, affine restrictions, and nonnormal innovations
• Option valuation with normal mixture GARCH models
• A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
• Option pricing under GARCH models applied to the SET index of Thailand
• NIG-GARCH models based on open, close, high and low prices
• Title not available (Why is that?)
• Option pricing for a logstable asset price model
• Option pricing with realistic ARCH processes
• Dynamic programming approach for valuing options in the GARCH model
• Model risk of the implied GARCH-normal model
• Discrete time option pricing with flexible volatility estimation

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