The GARCH-stable option pricing model

DOI10.1016/S0895-7177(01)00127-3zbMath1008.91048MaRDI QIDQ1600540

H. A. Hauksson, Svetlozar T. Rachev

Publication date: 13 June 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

zbMATH Keywords

option pricingstable distributionsGARCH-stable processeslocally risk-neutral valuation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Option pricing for a logstable asset price model
• Generalized autoregressive conditional heteroscedasticity
• Stable GARCH models for financial time series
• THE GARCH OPTION PRICING MODEL
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On the Stable Paretian Behavior of Stock-Market Prices

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