A modified empirical martingale simulation for financial derivative pricing

DOI10.1080/03610926.2012.661504zbMATH Open1458.62247OpenAlexW2314372999MaRDI QIDQ2815364FDOQ2815364

Authors: Shih-Feng Huang 

Publication date: 28 June 2016

Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.661504

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zbMATH Keywords

GARCHoption pricingempirical martingale simulation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• The pricing of options and corporate liabilities
• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• THE GARCH OPTION PRICING MODEL
• Empirical martingale simulation for asset prices
• GARCH option pricing: A semiparametric approach
• Model risk of the implied GARCH-normal model

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