Option pricing with non-Gaussian scaling and infinite-state switching volatility

DOI10.1016/j.jeconom.2015.02.033zbMath1337.91085arXiv1307.6322MaRDI QIDQ2347724

Marco Zamparo, Fulvio Baldovin, Massimiliano Caporin, Michele Caraglio, Attilio L. Stella

Publication date: 8 June 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.6322

zbMATH Keywords

option pricing; GARCH; Markov switching; anomalous scaling

Mathematics Subject Classification ID

91B84: Economic time series analysis

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Risk preference, option pricing and portfolio hedging with proportional transaction costs, The fine-structure of volatility feedback. I: Multi-scale self-reflexivity, Econometric analysis of financial derivatives: an overview

Uses Software

• longmemo

Cites Work

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