Smoothly truncated stable distributions, GARCH-models, and option pricing

DOI10.1007/s00186-008-0245-6zbMath1166.91022OpenAlexW2063799029MaRDI QIDQ1028530

Christian Menn, Svetlozar T. Rachev

Publication date: 6 July 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-008-0245-6

zbMATH Keywords

option pricingdiscrete-time modelsnon-Gaussian GARCH modelsincomplete financial markets

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

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Option pricing in a conditional bilateral Gamma model ⋮ Multilevel Monte Carlo Implementation for SDEs Driven by Truncated Stable Processes ⋮ Option pricing and hedging under a stochastic volatility Lévy process model ⋮ GARCH option pricing models with Meixner innovations ⋮ GARCH option pricing: A semiparametric approach ⋮ On simulating truncated stable random variables ⋮ Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research ⋮ Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models

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