A GARCH option pricing model with \(\alpha\)-stable innovations (Q704080)
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scientific article; zbMATH DE number 2127034
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A GARCH option pricing model with \(\alpha\)-stable innovations |
scientific article; zbMATH DE number 2127034 |
Statements
A GARCH option pricing model with \(\alpha\)-stable innovations (English)
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12 January 2005
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Option pricing
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GARCH processes
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Tail truncation
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Stable distributions
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Volatility smile
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