Option valuation with conditional skewness
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Publication:292018
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Cites work
- scientific article; zbMATH DE number 699423 (Why is no real title available?)
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- ARCH models as diffusion approximations
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- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Option valuation with infinitely divisible distributions
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- The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
- The dynamics of stochastic volatility: evidence from underlying and options markets
- The pricing of options and corporate liabilities
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
Cited in
(42)- Model risk of the implied GARCH-normal model
- Option pricing for GARCH-type models with generalized hyperbolic innovations
- PRICING AUSTRALIAN S&P200 OPTIONS: A BAYESIAN APPROACH BASED ON GENERALIZED DISTRIBUTIONAL FORMS
- A new bivariate approach for modeling the interaction between stock volatility and interest rate: an application to S\&P500 returns and options
- Pricing Asian options in affine GARCH models
- Variance swaps valuation under non-affine GARCH models and their diffusion limits
- US stock returns: are there seasons of excesses?
- Bayesian option pricing using mixed normal heteroskedasticity models
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- A non-Gaussian option pricing model with skew
- Option valuation with infinitely divisible distributions
- COMPUTATIONAL METHOD FOR PROBABILITY DISTRIBUTION ON RECURSIVE RELATIONSHIPS IN FINANCIAL APPLICATIONS
- Implied volatility and skewness surface
- Model-based pricing for financial derivatives
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- Lattice-based hedging schemes under GARCH models
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- Option pricing with discrete time jump processes
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- Linking Tukey's legacy to financial risk measurement
- Generalized Autoregressive Positive-valued Processes
- GARCH option pricing: A semiparametric approach
- Calibration of GARCH models using concurrent accelerated random search
- 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
- A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
- Fourier inversion formulas for multiple-asset option pricing
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- Learning for infinitely divisible GARCH models in option pricing
- Models for stock returns
- An efficient unified approach for spread option pricing in a copula market model
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