A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS

DOI10.1142/S0219024911006401zbMath1282.91116MaRDI QIDQ3094327

Reg J. Kulperger, Tak Kuen Siu, Robert J. Elliott, J. Miettinen, Alexandru M. Badescu

Publication date: 24 October 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

option pricingRadon-Nikodym derivativeEsscher transformextended Girsanov principlemean correcting martingale measurerisk neutral valuationgeneralized hyperbolic GARCH

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Martingales with discrete parameter (60G42) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Non-Gaussian GARCH option pricing models and their diffusion limits ⋮ The mean correcting martingale measures for exponential additive processes ⋮ Option valuation with IG-GARCH model and a U-shaped pricing kernel ⋮ GARCH option pricing models with Meixner innovations ⋮ Option pricing with ARIMA-GARCH models of underlying asset returns ⋮ Quadratic hedging schemes for non-Gaussian GARCH models

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