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ArticleA GARCH option pricing model with α-stable innovations

Christian Menn2004

Article2004

A GARCH option pricing model with α-stable innovations

Christian Menn · Svetlozar T. Rachev

40 citations·0/0 files stored·European Journal of Operational Research

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1986Generalized autoregressive conditional heteroskedasticity 1965The Behavior of Stock-Market Prices 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1987The Pricing of Options on Assets with Stochastic Volatilities

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2008Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research

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1998New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Modelarticle · 11 shared references 1998A GARCH model of the implied volatility of the Swiss market index from option pricesarticle · 9 shared references 19965 Stochastic volatilitychapter · 8 shared references 2003Empirical assessment of an intertemporal option pricing model with latent variablesarticle · 8 shared references 2010The Econometrics of Option Pricingchapter · 8 shared references 2005Pricing American options when the underlying asset follows GARCH processesarticle · 8 shared references

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Year2004

Typearticle

Published2004-03-05

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations40

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.ejor.2004.01.009

openalex_workW2033901649

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