Derivation of Kurtosis and Option Pricing Formulas for Popular Volatility Models with Applications in Finance

DOI10.1080/03610920701826435zbMath1140.62082OpenAlexW1964285706MaRDI QIDQ3518490

A. Thavaneswaran, Jagbir Singh, M. Shelton Peiris

Publication date: 8 August 2008

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

Full work available at URL: https://doi.org/10.1080/03610920701826435

zbMATH Keywords

stochastic volatilityrandom coefficientstruncated lognormal distributionsign-switching

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Option valuation with conditional skewness
• Random coefficient GARCH models
• Random coefficient autoregressive models: an introduction
• Generalized autoregressive conditional heteroscedasticity
• Strong approximation for RCA(1) time series with applications
• THE GARCH OPTION PRICING MODEL
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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