A GARCH option pricing model with -stable innovations

DOI10.1016/J.EJOR.2004.01.009zbMATH Open1067.90120OpenAlexW2033901649MaRDI QIDQ704080FDOQ704080

Authors: Christian Menn, Svetlozar T. Rachev 

Publication date: 12 January 2005

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2004.01.009

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zbMATH Keywords

Volatility smileGARCH processesOption pricingStable distributionsTail truncation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Operations research and management science (90B99)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Stable Paretian models in finance
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• Martingales and arbitrage in multiperiod securities markets
• Title not available (Why is that?)
• THE GARCH OPTION PRICING MODEL
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Cited In (22)

• A new bivariate approach for modeling the interaction between stock volatility and interest rate: an application to S\&P500 returns and options
• Option pricing based on geometric stable processes and minimal entropy martingale measures
• Option pricing for GARCH-type models with generalized hyperbolic innovations
• Pricing SSE 50ETF option under GARCH model with generalized hyperbolic innovations
• American option pricing under GARCH with non-normal innovations
• Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research
• Expectation propagation for likelihood-free inference
• Orthant-based variance decomposition in investment portfolios
• Non-Gaussian GARCH option pricing models and their diffusion limits
• Bivariate sub-Gaussian model for stock index returns
• The GARCH-stable option pricing model
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• Modeling international trade data with the Tweedie distribution for anti-fraud and policy support
• Smoothly truncated stable distributions, GARCH-models, and option pricing
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• Option pricing with conditional GARCH models
• A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
• Prediction of \(\alpha\)-stable GARCH and ARMA-GARCH-M models
• Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes
• To expand and to abandon: real options under asset variance risk premium
• Option pricing for a logstable asset price model
• Model risk of the implied GARCH-normal model

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