GARCH option pricing models with Meixner innovations

DOI10.1007/s11147-017-9141-7zbMath1405.91614OpenAlexW2602114653MaRDI QIDQ1710580

Matthias R. Fengler, Alexander V. Melnikov

Publication date: 23 January 2019

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: http://ux-tauri.unisg.ch/RePEc/usg/econwp/EWP-1702.pdf

zbMATH Keywords

option pricingGARCH modelsEsscher transformMeixner distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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