A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS
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 pricingRadon-Nikodym derivativeEsscher transformextended Girsanov principlemean correcting martingale measurerisk neutral valuationgeneralized hyperbolic GARCH
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Martingales with discrete parameter (60G42) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (6)
Cites Work
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