A GARCH option pricing model with \(\alpha\)-stable innovations

DOI10.1016/j.ejor.2004.01.009zbMath1067.90120OpenAlexW2033901649MaRDI QIDQ704080

Christian Menn, Svetlozar T. Rachev

Publication date: 12 January 2005

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2004.01.009

zbMATH Keywords

Volatility smileOption pricingGARCH processesStable distributionsTail truncation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Operations research and management science (90B99)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• THE GARCH OPTION PRICING MODEL
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