Smoothly truncated stable distributions, GARCH-models, and option pricing
type: Item
instance of: scholarly article
title: Smoothly truncated stable distributions, GARCH-models, and option pricing
zbMATH Open document ID: 1166.91022
author: Christian Menn
author: Svetlozar T. Rachev
published in: Mathematical Methods of Operations Research
publication date: 2009-07-06T00:00:00Z
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 5575937
zbMATH Keywords: incomplete financial markets
zbMATH Keywords: discrete-time models
zbMATH Keywords: non-Gaussian GARCH models
zbMATH Keywords: option pricing
MaRDI profile type: Publication
full work available at URL: s00186-008-0245-6
OpenAlex ID: W2063799029
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cites work: Empirical martingale simulation for asset prices
cites work: A GARCH option pricing model with \(\alpha\)-stable innovations
cites work: Q4905685
cites work: An empirical comparison of GARCH option pricing models
cites work: Q4301585
DOI: 10.1007/S00186-008-0245-6
description: scientific article; zbMATH DE number 5575937