A Modified Empirical Martingale Simulation for Financial Derivative Pricing

DOI10.1080/03610926.2012.661504zbMath1458.62247OpenAlexW2314372999MaRDI QIDQ2815364

Shih-Feng Huang

Publication date: 28 June 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.661504

zbMATH Keywords

option pricingGARCHempirical martingale simulation

Mathematics Subject Classification ID

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

Related Items (1)

Hedging Barrier Options in GARCH Models with Transaction Costs

Cites Work

• The Pricing of Options and Corporate Liabilities
• GARCH option pricing: A semiparametric approach
• Generalized autoregressive conditional heteroscedasticity
• Empirical Martingale Simulation for Asset Prices
• 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
• Model risk of the implied GARCH-normal model

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