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Option pricing for GARCH-type models with generalized hyperbolic innovations

Citations

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Cited by:

  1. Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2013. "Option pricing with discrete time jump processes," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2417-2445.
  2. Yuan Hu & Svetlozar T. Rachev & Frank J. Fabozzi, 2019. "Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation," Papers 1908.05419, arXiv.org.
  3. Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2012. "Option pricing with discrete time jump processes," Post-Print halshs-00611706, HAL.
  4. 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.
  5. Thisari K. Mahanama & Abootaleb Shirvani & Svetlozar Rachev & Frank J. Fabozzi, 2023. "The Financial Market of Environmental Indices," Papers 2308.15661, arXiv.org.
  6. Matthias R. Fengler & Alexander Melnikov, 2018. "GARCH option pricing models with Meixner innovations," Review of Derivatives Research, Springer, vol. 21(3), pages 277-305, October.
  7. Guo, Zi-Yi, 2017. "Empirical Performance of GARCH Models with Heavy-tailed Innovations," EconStor Preprints 167626, ZBW - Leibniz Information Centre for Economics.
  8. Zhu, Ke & Ling, Shiqing, 2015. "Model-based pricing for financial derivatives," Journal of Econometrics, Elsevier, vol. 187(2), pages 447-457.
  9. Matthieu Garcin & Dominique Guegan, 2015. "Optimal wavelet shrinkage of a noisy dynamical system with non-linear noise impact," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01244239, HAL.
  10. 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.
  11. 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.
  12. Alexandru Badescu & Robert J. Elliott & Juan-Pablo Ortega, 2012. "Quadratic hedging schemes for non-Gaussian GARCH models," Papers 1209.5976, arXiv.org, revised Dec 2013.
  13. Thilini V. Mahanama & Abootaleb Shirvani, 2020. "A Natural Disasters Index," Papers 2008.03672, arXiv.org.
  14. A. Alexandre Trindade & Abootaleb Shirvani & Xiaohan Ma, 2020. "A Socioeconomic Well-Being Index," Applied Economics and Finance, Redfame publishing, vol. 7(4), pages 48-62, July.
  15. Chorro, Christophe & Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2018. "Testing for leverage effects in the returns of US equities," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 290-306.
  16. Joan del Castillo & Juan-Pablo Ortega, 2011. "Hedging of time discrete auto-regressive stochastic volatility options," Papers 1110.6322, arXiv.org.
  17. Alexandru Badescu & Robert J. Elliott & Reg Kulperger & Jarkko Miettinen & Tak Kuen Siu, 2011. "A Comparison Of Pricing Kernels For Garch Option Pricing With Generalized Hyperbolic Distributions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(05), pages 669-708.
  18. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2010. "Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes," Post-Print halshs-00523371, HAL.
  19. Larsson, Karl, 2023. "Parametric heat wave insurance," Journal of Commodity Markets, Elsevier, vol. 31(C).
  20. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2017. "Testing for Leverage Effects in the Returns of US Equities," Post-Print halshs-00973922, HAL.
  21. 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.
  22. Matthieu Garcin & Dominique Guegan, 2015. "Optimal wavelet shrinkage of a noisy dynamical system with non-linear noise impact," Documents de travail du Centre d'Economie de la Sorbonne 15085, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  23. Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo, 2015. "Non-Gaussian GARCH option pricing models and their diffusion limits," European Journal of Operational Research, Elsevier, vol. 247(3), pages 820-830.
  24. Thilini V. Mahanama & Abootaleb Shirvani & Svetlozar Rachev, 2023. "The Financial Market of Indices of Socioeconomic Wellbeing," Papers 2303.05654, arXiv.org.
  25. Matthieu Garcin & Dominique Guegan, 2015. "Optimal wavelet shrinkage of a noisy dynamical system with non-linear noise impact," Post-Print halshs-01244239, HAL.
  26. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effect in Financial Returns," Documents de travail du Centre d'Economie de la Sorbonne 14022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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