GARCH option pricing models with Meixner innovations

Matthias R. Fengler, Alexander Melnikov

Year of publication:	Feb 2017
Authors:	Fengler, Matthias ; Melnikov, Alexander
Publisher:	St. Gallen : School of Economics and Political Science, Department of Economics, University of St.Gallen
Subject:	GARCH models \| Meixner distribution \| Esscher transform \| option pricing \| ARCH-Modell \| ARCH model \| Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process \| Innovation

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