Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations
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DOI: 10.1080/14697688.2010.493180
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Citations
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Cited by:
- Badescu, Alexandru & Cui, Zhenyu & Ortega, Juan-Pablo, 2016. "A note on the Wang transform for stochastic volatility pricing models," Finance Research Letters, Elsevier, vol. 19(C), pages 189-196.
- Thisari K. Mahanama & Abootaleb Shirvani & Svetlozar Rachev & Frank J. Fabozzi, 2023. "The Financial Market of Environmental Indices," Papers 2308.15661, arXiv.org.
- Guo, Zi-Yi, 2017. "Empirical Performance of GARCH Models with Heavy-tailed Innovations," EconStor Preprints 167626, ZBW - Leibniz Information Centre for Economics.
- Zhu, Ke & Ling, Shiqing, 2015.
"Model-based pricing for financial derivatives,"
Journal of Econometrics, Elsevier, vol. 187(2), pages 447-457.
- Zhu, Ke & Ling, Shiqing, 2014. "Model-based pricing for financial derivatives," MPRA Paper 56623, University Library of Munich, Germany.
- Papantonis, Ioannis & Rompolis, Leonidas & Tzavalis, Elias, 2023. "Improving variance forecasts: The role of Realized Variance features," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1221-1237.
- Thilini Mahanama & Abootaleb Shirvani & Svetlozar Rachev, 2022. "A Natural Disasters Index," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 24(2), pages 263-284, April.
- Thilini V. Mahanama & Abootaleb Shirvani, 2020. "A Natural Disasters Index," Papers 2008.03672, arXiv.org.
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- Davide Lauria & W. Brent Lindquist & Svetlozar T. Rachev & Yuan Hu, 2023. "Unifying Market Microstructure and Dynamic Asset Pricing," Papers 2304.02356, arXiv.org, revised Feb 2024.
- Thilini V. Mahanama & Abootaleb Shirvani & Svetlozar Rachev, 2023. "The Financial Market of Indices of Socioeconomic Wellbeing," Papers 2303.05654, arXiv.org.
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Keywords
Generalized hyperbolic distribution; Option pricing; Incomplete markets; CAC 40; SP 500; GARCH-type models;All these keywords.
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