A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
Alexandru Badescu; Robert J. Elliott; Reg Kulperger; Jarkko Miettinen; Tak Kuen Siu
| Year of publication: |
2011
|
|---|---|
| Authors: | Badescu, Alexandru ; Elliott, Robert J. ; Kulperger, Reg ; Miettinen, Jarkko ; Siu, Tak Kuen |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 14.2011, 5, p. 669-708
|
| Subject: | Option pricing | risk neutral valuation | Generalized Hyperbolic GARCH | extended Girsanov principle | Esscher transform | mean correcting martingale measure | Radon-Nikodym derivative | Optionspreistheorie | Option pricing theory | Derivat | Derivative | ARCH-Modell | ARCH model | Martingal | Martingale | Statistische Verteilung | Statistical distribution | Black-Scholes-Modell | Black-Scholes model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009298478