Model risk of the implied GARCH-normal model

DOI10.1080/14697688.2011.630323zbMath1402.91790OpenAlexW2045287107MaRDI QIDQ5247942

Shih-Feng Huang, Mei-Hui Guo

Publication date: 27 April 2015

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

Full work available at URL: https://doi.org/10.1080/14697688.2011.630323

zbMATH Keywords

option pricingmodel riskGARCH modelextended Girsanov principleconditional leptokurtic modeldynamic semiparametric approach

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)

Related Items (1)

A Modified Empirical Martingale Simulation for Financial Derivative Pricing

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Option valuation with conditional skewness
• 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
• The Student's t
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Discrete Time Equivalent Martingale Measure
• American option pricing under GARCH by a Markov chain approximation

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