Option Pricing in ARCH-type Models

DOI10.1111/1467-9965.00042zbMath0911.90028OpenAlexW2090771760MaRDI QIDQ4213030

Murad S. Taqqu, Jan Kallsen

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

zbMATH Keywords

no arbitrageoption pricingARCH modelsfinancial time series

Mathematics Subject Classification ID

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

Related Items (16)

Realistic Statistical Modelling of Financial Data ⋮ The continuous-time limit of score-driven volatility models ⋮ Empirical assessment of an intertemporal option pricing model with latent variables. ⋮ Reconsidering the continuous time limit of the GARCH(1,1) process ⋮ Option valuation with co-integrated asset prices ⋮ Quadratic hedging schemes for non-Gaussian GARCH models ⋮ Contemporaneous asymmetry in GARCH processes ⋮ American option pricing under GARCH by a Markov chain approximation ⋮ Chebyshev reduced basis function applied to option valuation ⋮ Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data ⋮ Hedging Barrier Options in GARCH Models with Transaction Costs ⋮ GARCH modelling in continuous time for irregularly spaced time series data ⋮ Statistical Inference for Unified Garch-Itô Models with High-Frequency Financial Data ⋮ Data cloning estimation of GARCH and COGARCH models ⋮ GARCH options via local risk minimization ⋮ State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data

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