Lévy process-driven asymmetric heteroscedastic option pricing model and empirical analysis

DOI10.1155/2018/6042830zbMath1422.91732OpenAlexW2783492454MaRDI QIDQ1727182

Gaoxun Zhang, Honglei Zhang, Yi Zheng, Xinchen Xie

Publication date: 20 February 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2018/6042830

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• The Pricing of Options and Corporate Liabilities
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• THE GARCH OPTION PRICING MODEL
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