Non-Gaussian GARCH option pricing models and their diffusion limits

DOI10.1016/j.ejor.2015.06.046zbMath1346.91225OpenAlexW3126008443MaRDI QIDQ320097

Juan-Pablo Ortega, Robert J. Elliott, Alexandru M. Badescu

Publication date: 6 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://www.alexandria.unisg.ch/249737/1/BEO_garchlimit-SV_Revision.pdf

zbMATH Keywords

financebivariate diffusion limitconditional Esscher transformextended Girsanov principlenon-Gaussian GARCH models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (6)

Non-parametric news impact curve: a variational approach ⋮ Option pricing under stochastic volatility models with latent volatility ⋮ Asymptotic asset pricing and bubbles ⋮ Option pricing with conditional GARCH models ⋮ Variance swaps valuation under non-affine GARCH models and their diffusion limits ⋮ The continuous limit of weak GARCH

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