GARCH option pricing: A semiparametric approach

DOI10.1016/j.insmatheco.2007.09.011zbMath1140.91374OpenAlexW2157034735MaRDI QIDQ938035

Reg J. Kulperger, Alexandru M. Badescu

Publication date: 18 August 2008

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.09.011

zbMATH Keywords

option pricingkernel density estimatorGARCHEsscher transformsemiparametric pricingextended Girsanov principle

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Non-Gaussian GARCH option pricing models and their diffusion limits ⋮ Esscher transforms and consumption-based models ⋮ Option pricing with discrete time jump processes ⋮ A Modified Empirical Martingale Simulation for Financial Derivative Pricing ⋮ A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS ⋮ Model risk of the implied GARCH-normal model

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