GARCH option pricing: A semiparametric approach
From MaRDI portal
Publication:938035
DOI10.1016/J.INSMATHECO.2007.09.011zbMATH Open1140.91374OpenAlexW2157034735MaRDI QIDQ938035FDOQ938035
Authors: Alexandru Badescu, Reg J. Kulperger 
Publication date: 18 August 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.09.011
Recommendations
GARCHoption pricingkernel density estimatorEsscher transformsemiparametric pricingextended Girsanov principle
Cites Work
- The pricing of options and corporate liabilities
- Generalized autoregressive conditional heteroscedasticity
- Title not available (Why is that?)
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Title not available (Why is that?)
- Stochastic Volatility for Lévy Processes
- Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Title not available (Why is that?)
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Pricing contingent claims on stocks driven by Lévy processes
- Nonparametric risk management and implied risk aversion
- Title not available (Why is that?)
- The \(p\)-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure
- THE GARCH OPTION PRICING MODEL
- Option valuation with conditional skewness
- Handbook of econometrics. Vol. 4
- The minimal entropy martingale measure and the valuation problem in incomplete markets
- Smoothly truncated stable distributions, GARCH-models, and option pricing
- Title not available (Why is that?)
- A Discrete Time Equivalent Martingale Measure
- APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING
- Minimizing \(L_ 1\) distance in nonparametric density estimation
- Kurtosis of GARCH and stochastic volatility models with non-normal innovations
- Weighted norm inequalities and hedging in incomplete markets
- Empirical assessment of an intertemporal option pricing model with latent variables.
- Actuarial bridges to dynamic hedging and option pricing
- Discrete time option pricing with flexible volatility estimation
Cited In (20)
- Locally risk-neutral valuation of options in GARCH models based on variance-gamma process
- Option pricing for GARCH-type models with generalized hyperbolic innovations
- A Modified Empirical Martingale Simulation for Financial Derivative Pricing
- An empirical comparison of GARCH option pricing models
- Title not available (Why is that?)
- Non-Gaussian GARCH option pricing models and their diffusion limits
- Option pricing with discrete time jump processes
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Option pricing with conditional GARCH models
- A Black-Scholes model with GARCH volatility
- Option valuation with normal mixture GARCH models
- A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
- Pricing bivariate option under GARCH processes with time-varying copula
- Esscher transforms and consumption-based models
- Learning for infinitely divisible GARCH models in option pricing
- Option Pricing Under GARCH Processes Using PDE Methods
- Option pricing with realistic ARCH processes
- Model risk of the implied GARCH-normal model
This page was built for publication: GARCH option pricing: A semiparametric approach
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q938035)
