Option pricing for GARCH-type models with generalized hyperbolic innovations

DOI10.1080/14697688.2010.493180zbMath1279.91155OpenAlexW3122203870MaRDI QIDQ2873536

Florian Ielpo, Dominique Guégan, Christophe Chorro

Publication date: 24 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.493180

zbMATH Keywords

GARCH modelsnon-Gaussian option pricingmodeling asset price dynamicsoption pricing via simulation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (13)

Wavelet shrinkage of a noisy dynamical system with non-linear noise impact ⋮ Non-Gaussian GARCH option pricing models and their diffusion limits ⋮ Option valuation with IG-GARCH model and a U-shaped pricing kernel ⋮ Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance ⋮ Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects ⋮ GARCH option pricing models with Meixner innovations ⋮ Option pricing with discrete time jump processes ⋮ Variance swaps valuation under non-affine GARCH models and their diffusion limits ⋮ Lattice-based hedging schemes under GARCH models ⋮ Model-based pricing for financial derivatives ⋮ Option pricing based on hybrid GARCH-type models with improved ensemble empirical mode decomposition ⋮ Option pricing with realistic ARCH processes ⋮ Estimation methods for expected shortfall

Cites Work

• The Pricing of Options and Corporate Liabilities
• Option valuation with conditional skewness
• Generalized autoregressive conditional heteroscedasticity
• Empirical Martingale Simulation for Asset Prices
• THE GARCH OPTION PRICING MODEL
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• The Two-Dimensional Hyperbolic Distribution and Related Distributions, with an Application to Johannsen's Bean Data
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Discrete Time Equivalent Martingale Measure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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