American option pricing under GARCH with non-normal innovations

DOI10.1007/S11081-019-09421-WMaRDI QIDQ2331384zbMATH OpenOpenAlexWikidataFDO

Authors 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 optionsGARCHJohnson distributionquadrature

Mathematics Subject Classification ID

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

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Cites work

• American option pricing under GARCH by a Markov chain approximation
• Autoregressive Conditional Density Estimation
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Dynamic programming approach for valuing options in the GARCH model
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 1241609 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• On accurate and provably efficient GARCH option pricing algorithms
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
• THE GARCH OPTION PRICING MODEL
• The pricing of options and corporate liabilities

Cited in

(5)

• Semi-implicit FEM for the valuation of American options under the Heston model
• Lattice-based hedging schemes under GARCH models
• A lattice approach for option pricing under a regime-switching GARCH-jump model
• American option pricing under GARCH by a Markov chain approximation
• American option pricing under GARCH diffusion model: an empirical study

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