Martin, V. L.; Martin, G. M.; Lim, G. C. - In: Journal of Applied Econometrics 20 (2005) 3, pp. 377-404
A general parametric framework based on the generalized Student t-distribution is developed for pricing S&P500 options. Higher order moments in stock returns as well as time-varying volatility are priced. An important computational advantage of the proposed framework over Monte Carlo-based...
