A GARCH option pricing model with \(\alpha\)-stable innovations
type: Item
instance of: scholarly article
title: A GARCH option pricing model with \(\alpha\)-stable innovations
zbMATH Open document ID: 1067.90120
author: Christian Menn
author: Svetlozar T. Rachev
published in: European Journal of Operational Research
publication date: 2005-01-12T00:00:00Z
Mathematics Subject Classification ID: 90B99
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 2127034
zbMATH Keywords: Option pricing
zbMATH Keywords: GARCH processes
zbMATH Keywords: Tail truncation
zbMATH Keywords: Stable distributions
zbMATH Keywords: Volatility smile
MaRDI profile type: Publication
full work available at URL: j.ejor.2004.01.009
OpenAlex ID: W2033901649
cites work: The pricing of options and corporate liabilities
cites work: THE GARCH OPTION PRICING MODEL
cites work: Martingales and arbitrage in multiperiod securities markets
cites work: Q4894945
cites work: Q4905685
cites work: Stable Paretian models in finance
cites work: Q4301585
cites work: Q3717907
DOI: 10.1016/J.EJOR.2004.01.009
description: scientific article; zbMATH DE number 2127034