Non-Gaussian GARCH option pricing models and their diffusion limits
DOI10.1016/J.EJOR.2015.06.046zbMATH Open1346.91225OpenAlexW3126008443MaRDI QIDQ320097FDOQ320097
Authors: Robert J. Elliott, Juan-Pablo Ortega, Alexandru Badescu 
Publication date: 6 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://www.alexandria.unisg.ch/249737/1/BEO_garchlimit-SV_Revision.pdf
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financebivariate diffusion limitconditional Esscher transformextended Girsanov principlenon-Gaussian GARCH models
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Cites Work
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- APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING
- A GARCH option pricing model with \(\alpha\)-stable innovations
- GARCH option pricing: A semiparametric approach
Cited In (14)
- 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
- Option pricing under stochastic volatility models with latent volatility
- Non-parametric news impact curve: a variational approach
- APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING
- CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE
- The continuous limit of weak GARCH
- Title not available (Why is that?)
- An option pricing formula for the GARCH diffusion model
- Option pricing with conditional GARCH models
- A theory of non‐Gaussian option pricing
- Asymptotic asset pricing and bubbles
- Learning for infinitely divisible GARCH models in option pricing
- Option Pricing Under GARCH Processes Using PDE Methods
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