Christoffersen, Peter; Elkamhi, Redouane; Feunou, Bruno; … - School of Economics and Management, University of Aarhus - 2009
obtained by Duan (1995) and Heston and Nandi (2000) by allowing for a time-varying price of risk and non-normal innovations. We …-varying price of risk and non-normal innovations. We provide
extensions of these results to more general equivalent martingale … for continuous time models.
JEL Classi�cation: G12
Keywords: GARCH; risk-neutral valuation; no-arbitrage; non-normal …