Option pricing for historical filtering on Levy processes driven by GARCH

MaRDI QIDQ4901416zbMATH OpenFDO

Authors Hengyu Wu, Fumin Zhu

Publication date 24 January 2013

zbMATH Keywords

filtering historical simulationGARCH modelsLevy processesoption pricingrisk premium

Mathematics Subject Classification ID

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

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Cited in

(2)

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

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