A GARCH option pricing model with -stable innovations

DOI10.1016/J.EJOR.2004.01.009MaRDI QIDQ704080zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Volatility smileGARCH processesOption pricingStable distributionsTail truncation

Mathematics Subject Classification ID

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

Recommendations

• The GARCH-stable option pricing model
• Smoothly truncated stable distributions, GARCH-models, and option pricing
• Option pricing for GARCH-type models with generalized hyperbolic innovations
• scientific article; zbMATH DE number 5566166
• GARCH option pricing models with Meixner innovations

Cites work

• scientific article; zbMATH DE number 3947305 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 932659 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Martingales and arbitrage in multiperiod securities markets
• Stable Paretian models in finance
• THE GARCH OPTION PRICING MODEL
• The pricing of options and corporate liabilities

Cited in

(22)

• Option pricing for a logstable asset price model
• To expand and to abandon: real options under asset variance risk premium
• The GARCH-stable option pricing model
• American option pricing under GARCH with non-normal innovations
• 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
• Orthant-based variance decomposition in investment portfolios
• A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
• Expectation propagation for likelihood-free inference
• Smoothly truncated stable distributions, GARCH-models, and option pricing
• Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research
• Model risk of the implied GARCH-normal model
• Option pricing for GARCH-type models with generalized hyperbolic innovations
• Non-Gaussian GARCH option pricing models and their diffusion limits
• Prediction of \(\alpha\)-stable GARCH and ARMA-GARCH-M models
• Modeling international trade data with the Tweedie distribution for anti-fraud and policy support
• scientific article; zbMATH DE number 5566166 (Why is no real title available?)
• Bivariate sub-Gaussian model for stock index returns
• Option pricing with conditional GARCH models
• Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes
• GARCH option pricing models with Meixner innovations
• Pricing SSE 50ETF option under GARCH model with generalized hyperbolic innovations

This page was built for publication: A GARCH option pricing model with \(\alpha\)-stable innovations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q704080)