American option pricing under GARCH with non-normal innovations

DOI10.1007/S11081-019-09421-WzbMath1429.91328OpenAlexW2909197453WikidataQ128575747 ScholiaQ128575747MaRDI QIDQ2331384

Jean-Guy Simonato

Publication date: 29 October 2019

Published in: Optimization and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11081-019-09421-w

zbMATH Keywords

American optionsGARCHquadratureJohnson distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

A lattice approach for option pricing under a regime-switching GARCH-jump model ⋮ Lattice-based hedging schemes under GARCH models ⋮ Semi-implicit FEM for the valuation of American options under the Heston model

Cites Work

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive Conditional Density Estimation
• On accurate and provably efficient GARCH option pricing algorithms
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
• American option pricing under GARCH by a Markov chain approximation

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