Option Pricing in ARCH-type Models

DOI10.1111/1467-9965.00042zbMATH Open0911.90028OpenAlexW2090771760MaRDI QIDQ4213030FDOQ4213030

Authors: Jan Kallsen, Murad S. Taqqu 

Publication date: 5 May 1999

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00042

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zbMATH Keywords

option pricingfinancial time seriesARCH modelsno arbitrage

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Economic time series analysis (91B84)

Cited In (21)

• Statistical inference for unified Garch-Itô models with high-frequency financial data
• Realistic Statistical Modelling of Financial Data
• GARCH modelling in continuous time for irregularly spaced time series data
• Contemporaneous asymmetry in GARCH processes
• GARCH options via local risk minimization
• Option pricing with ARIMA-GARCH models of underlying asset returns
• Hedging barrier options in GARCH models with transaction costs
• The continuous-time limit of score-driven volatility models
• Chebyshev reduced basis function applied to option valuation
• Option valuation with co-integrated asset prices
• Statistical inference for GQARCH-Itô-jumps model based on the realized range volatility
• American option pricing under GARCH by a Markov chain approximation
• Option pricing under autoregressive random variance models
• Reconsidering the continuous time limit of the GARCH(1,1) process
• Quadratic hedging schemes for non-Gaussian GARCH models
• State heterogeneity analysis of financial volatility using high-frequency financial data
• Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
• Empirical assessment of an intertemporal option pricing model with latent variables.
• Option pricing with realistic ARCH processes
• Data cloning estimation of GARCH and COGARCH models
• Discrete time option pricing with flexible volatility estimation

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