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A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS

BADESCU, ALEXANDRU; ELLIOTT, ROBERT J.; KULPERGER, REG; … - In: International Journal of Theoretical and Applied … 14 (2011) 05, pp. 669-708

Under discrete-time GARCH models markets are incomplete so there is more than one price kernel for valuing contingent …-neutral dynamics of various classes of Generalized Hyperbolic GARCH models arising from different price kernels. We discuss the … neutral GARCH dynamics. Real data examples for pricing European options on the S&P 500 index emphasize the importance of the …

Persistent link: https://www.econbiz.de/10009245356

A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions

Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; … - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 669-708

Persistent link: https://www.econbiz.de/10009298478

Option pricing in regime-switching frameworks with the Extended Girsanov Principle

Godin, Frédéric; Trottier, Denis-Alexandre - In: Insurance / Mathematics & economics 99 (2021), pp. 116-129

Persistent link: https://www.econbiz.de/10012649213

Option pricing and hedging under a stochastic volatility Lévy process model

Kim, Young; Fabozzi, Frank; Lin, Zuodong; Rachev, Svetlozar - In: Review of Derivatives Research 15 (2012) 1, pp. 81-97

Persistent link: https://www.econbiz.de/10010867545

Option pricing and Esscher transform under regime switching

Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: Annals of Finance 1 (2005) 4, pp. 423-432

Persistent link: https://www.econbiz.de/10005808845

Option pricing and hedging under a stochastic volatility Lévy process model

Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; … - In: Review of derivatives research 15 (2012) 1, pp. 81-97

Persistent link: https://www.econbiz.de/10009627431

GARCH option pricing models with Meixner innovations

Fengler, Matthias; Melnikov, Alexander - In: Review of derivatives research 21 (2018) 3, pp. 277-305

Persistent link: https://www.econbiz.de/10012055743

Option pricing under regime-switching models : novel approaches removing path-dependence

Godin, Frédéric; Lai, Van Son; Trottier, Denis-Alexandre - In: Insurance / Mathematics & economics 87 (2019), pp. 130-142

Persistent link: https://www.econbiz.de/10012058933

Insurance guaranty premiums and exchange options

Lee, Hangsuck; Song, Seongjoo; Lee, Gaeun - In: Mathematics and financial economics 17 (2023) 1, pp. 49-77

Persistent link: https://www.econbiz.de/10014226252

European option pricing with market frictions, regime switches and model uncertainty

Siu, Tak Kuen - In: Insurance / Mathematics & economics 113 (2023), pp. 233-250

Persistent link: https://www.econbiz.de/10014466214