Derivation of Kurtosis and Option Pricing Formulas for Popular Volatility Models with Applications in Finance

DOI10.1080/03610920701826435MaRDI QIDQ3518490zbMATH OpenOpenAlexFDO

Authors A. Thavaneswaran, Shelton Peiris, J. Singh

Publication date 8 August 2008

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920701826435

zbMATH Keywords

stochastic volatilityrandom coefficientstruncated lognormal distributionsign-switching

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3438157 (Why is no real title available?)
• scientific article; zbMATH DE number 2105698 (Why is no real title available?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Generalized autoregressive conditional heteroscedasticity
• Option valuation with conditional skewness
• Random coefficient GARCH models
• Random coefficient autoregressive models: an introduction
• Strong approximation for RCA(1) time series with applications
• THE GARCH OPTION PRICING MODEL
• The pricing of options and corporate liabilities

Cited in

(1)

• Kurtosis in Black-Scholes model with GARCH volatility

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