Option pricing for historical filtering on Levy processes driven by GARCH

zbMATH Open1265.91069MaRDI QIDQ4901416FDOQ4901416

Authors: Hengyu Wu, Fumin Zhu 

Publication date: 24 January 2013

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zbMATH Keywords

GARCH modelsoption pricingLevy processesrisk premiumfiltering historical simulation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cited In (2)

• The research of parameter estimations under the Lévy process based on option pricing
• Lévy process-driven asymmetric heteroscedastic option pricing model and empirical analysis

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