LOCALLY RISK-NEUTRAL VALUATION OF OPTIONS IN GARCH MODELS BASED ON VARIANCE-GAMMA PROCESS

DOI10.1142/S021902491250015XzbMath1283.91179MaRDI QIDQ2882691

Lie-Jane Kao

Publication date: 7 May 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Black-Scholes model; leverage effect; variance-gamma process; feedback effect; ad hoc Black-Scholes model; locally risk-neutral valuation relationship; normal NGARCH model; stochastic volatility VG model

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B84: Economic time series analysis

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

Cites Work

• The Pricing of Options and Corporate Liabilities
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• Martingales and stochastic integrals in the theory of continuous trading
• Processes that can be embedded in Brownian motion
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• THE GARCH OPTION PRICING MODEL
• Stationary-increment Student and variance-gamma processes
• OPTION PRICING WITH VG–LIKE MODELS
• Option Pricing With V. G. Martingale Components¹
• Stochastic Volatility for Lévy Processes
• The Variance Gamma Process and Option Pricing
• Option pricing when underlying stock returns are discontinuous
• Option pricing: A simplified approach
• APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING