Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology

In this paper, we present an alternative to the Black Scholes model for a discrete time economy using GARCH-type models for the underlying asset returns with Generalized Hyperbolic (GH) innovations that are potentially skewed and leptokurtic. Assuming that the stochastic discount factor is an exponential affine function of the states variables, we show that this class of distributions is stable under the Risk neutral change of probability.

MoreLess

Year of publication:	2008-05
Authors:	Chorro, Christophe ; Guegan, Dominique ; Ielpo, Florian
Institutions:	HAL
Subject:	GARCH \| Generalized Hyperbolic Distribution \| pricing \| risk neutral distribution

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00281585
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010750905