GARCH option pricing: A semiparametric approach
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Cited in
(24)- Pricing bivariate option under GARCH processes with time-varying copula
- Option pricing with discrete time jump processes
- American option pricing under GARCH with non-normal innovations
- Option Pricing Under GARCH Processes Using PDE Methods
- Option valuation with normal mixture GARCH models
- A modified empirical martingale simulation for financial derivative pricing
- A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
- Option pricing under GARCH models applied to the SET index of Thailand
- An empirical comparison of GARCH option pricing models
- A Black-Scholes model with GARCH volatility
- Locally risk-neutral valuation of options in GARCH models based on variance-gamma process
- Model risk of the implied GARCH-normal model
- Option pricing for GARCH-type models with generalized hyperbolic innovations
- Esscher transforms and consumption-based models
- Learning for infinitely divisible GARCH models in option pricing
- Non-Gaussian GARCH option pricing models and their diffusion limits
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- Option pricing with conditional GARCH models
- GARCH option pricing models with Meixner innovations
- Pricing SSE 50ETF option under GARCH model with generalized hyperbolic innovations
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