A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS
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Publication:3094327
DOI10.1142/S0219024911006401zbMath1282.91116MaRDI QIDQ3094327
Reg J. Kulperger, Tak Kuen Siu, Robert J. Elliott, J. Miettinen, Alexandru M. Badescu
Publication date: 24 October 2011
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
option pricing; Radon-Nikodym derivative; Esscher transform; extended Girsanov principle; mean correcting martingale measure; risk neutral valuation; generalized hyperbolic GARCH
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
60G42: Martingales with discrete parameter
91G20: Derivative securities (option pricing, hedging, etc.)
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