Option valuation with conditional skewness
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Publication:292018
DOI10.1016/J.JECONOM.2005.01.010zbMATH Open1337.62321OpenAlexW3124367289MaRDI QIDQ292018FDOQ292018
Kris Jacobs, Peter Christoffersen, Steve Heston
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://cirano.qc.ca/files/publications/2003s-50.pdf
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Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)
Cites Work
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- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Modeling volatility persistence of speculative returns: a new approach
- ARCH models as diffusion approximations
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- The dynamics of stochastic volatility: evidence from underlying and options markets
- Post-'87 crash fears in the S\&P 500 futures option market
- THE GARCH OPTION PRICING MODEL
- Empirical option pricing: A retrospection
- Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates
- The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
- Option valuation with infinitely divisible distributions
Cited In (38)
- A new bivariate approach for modeling the interaction between stock volatility and interest rate: an application to S\&P500 returns and options
- Variance swaps valuation under non-affine GARCH models and their diffusion limits
- PRICING AUSTRALIAN S&P200 OPTIONS: A BAYESIAN APPROACH BASED ON GENERALIZED DISTRIBUTIONAL FORMS
- Option pricing for GARCH-type models with generalized hyperbolic innovations
- US stock returns: are there seasons of excesses?
- Bayesian option pricing using mixed normal heteroskedasticity models
- A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS
- COMPUTATIONAL METHOD FOR PROBABILITY DISTRIBUTION ON RECURSIVE RELATIONSHIPS IN FINANCIAL APPLICATIONS
- Value at Risk with time varying variance, skewness and kurtosis-the NIG-ACD model
- Implied volatility and skewness surface
- Model-based pricing for financial derivatives
- COMFORT: a common market factor non-Gaussian returns model
- PRICING ASIAN OPTIONS IN AFFINE GARCH MODELS
- Lattice-based hedging schemes under GARCH models
- Option pricing in a conditional bilateral Gamma model
- The behavioral implications of the bilateral gamma process
- Optimal consumption and investment in general affine GARCH models
- Derivation of Kurtosis and Option Pricing Formulas for Popular Volatility Models with Applications in Finance
- GARCH option pricing models with Meixner innovations
- Option pricing with discrete time jump processes
- Option valuation with IG-GARCH model and a U-shaped pricing kernel
- Generalized Autoregressive Positive-valued Processes
- Linking Tukey's legacy to financial risk measurement
- GARCH option pricing: A semiparametric approach
- Calibration of GARCH models using concurrent accelerated random search
- Expected Utility Theory on General Affine GARCH Models
- Recursive estimation for continuous time stochastic volatility models
- Option pricing with conditional GARCH models
- A discrete-time hedging framework with multiple factors and fat tails: on what matters
- Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
- Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data
- Fourier inversion formulas for multiple-asset option pricing
- Combination of transition probability distribution and stable Lorentz distribution in stock markets
- Option pricing with non-Gaussian scaling and infinite-state switching volatility
- Learning for infinitely divisible GARCH models in option pricing
- An efficient unified approach for spread option pricing in a copula market model
- Models for stock returns
- Model risk of the implied GARCH-normal model
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