Learning for infinitely divisible GARCH models in option pricing
From MaRDI portal
Publication:2699614
DOI10.1515/snde-2019-0088OpenAlexW3062971405MaRDI QIDQ2699614
Publication date: 19 April 2023
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2019-0088
option pricingMarkov chain Monte Carloparticle filteringsequential Bayesian learningLévy-GARCH models
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Option valuation with conditional skewness
- Tempering stable processes
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Particle learning and smoothing
- Generalized autoregressive conditional heteroscedasticity
- Modelling tail risk with tempered stable distributions: an overview
- Efficient learning via simulation: a marginalized resample-move approach
- Sequential Monte Carlo Methods in Practice
- RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL
- CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM
- Tempered stable Ornstein– Uhlenbeck processes: A practical view
- Tempered Infinitely Divisible Distributions and Processes
- MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES
- THE GARCH OPTION PRICING MODEL
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- A New Tempered Stable Distribution and Its Application to Finance
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Filtering via Simulation: Auxiliary Particle Filters
- Particle Markov Chain Monte Carlo Methods
- Elliptical tempered stable distribution
- A Survey of Sequential Monte Carlo Methods for Economics and Finance
- Forward-looking portfolio selection with multivariate non-Gaussian models
- Gaussian particle filtering
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Option pricing when underlying stock returns are discontinuous
- APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING
- SMC2: An Efficient Algorithm for Sequential Analysis of State Space Models