Using relative returns to accommodate fat-tailed innovations in processes and option pricing

DOI10.1080/14697688.2012.727462zbMath1281.91197OpenAlexW2077985079MaRDI QIDQ5397452

Unnamed Author, Gilles Zumbach

Publication date: 20 February 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2012.727462

zbMATH Keywords

ARCHnon-Gaussian option pricingnon-Gaussian distributionsgeometric processesrelative returns

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Sums of independent random variables; random walks (60G50) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

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Cites Work

• THE GARCH OPTION PRICING MODEL

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