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Option pricing in a Garch model with tempered stable innovations
14 references·2 citing·46 second hop
Option pricing in a Garch model with tempered stable innovations (2008)Option pricing in a Garch model with temp…The Modifled Tempered Stable Distribution, GARCH Models and Option Pricing (2008)The Modifled Tempered Stable …Tempering stable processes (2006)Tempering stable processesOption valuation with conditional skewness (2005)Option valuation with conditi…On pricing derivatives under GARCH models: a dynamic Gerber-Shiu's approach (2004)On pricing derivatives under …On Pricing Derivatives Under GARCH Models: A Dynamic Gerber-Shiu Approach (2004)On Pricing Derivatives Under …The Finite Moment Log Stable Process and Option Pricing (2003)The Finite Moment Log Stable …Normal modified stable processes (2001)Normal modified stable proces…Normal Modified Stable Processes (2001)Normal Modified Stable Proces…A Closed-Form GARCH Option Valuation Model (2000)A Closed-Form GARCH Option Va…New methods in statistical economics (1997)New methods in statistical ec…No-arbitrage, change of measure and conditional Esscher transforms (1996)No-arbitrage, change of measu…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELOption pricing by Esscher transforms. (1995)Option pricing by Esscher tra…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Bitcoin options market: A first look at pricing and risk (2020)The Bitcoin options market: A…A GARCH Model with Artificial Neural Networks (2020)A GARCH Model with Artificial…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Characterization of dependence of multidimensional Lévy processes using Lévy copulas (2006)Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data (2012)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Monte Carlo methods for security pricing (1997)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Theory of Martingales (1989)Continuous Martingales and Brownian Motion (1999)Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity (2003)The minimal entropy martingale measures for geometric L�vy processes (2003)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Option Valuation with Conditional Heteroskedasticity and Nonnormality (2009)The Pricing of Options on Assets with Stochastic Volatilities (1987)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Some recent developments in stochastic volatility modelling (2002)Efficiently sampling nested Archimedean copulas (2010)Tempered stable and tempered infinitely divisible GARCH models (2010)The Behavior of Stock-Market Prices (1965)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Stochastic skew in currency options☆ (2007)Option pricing when underlying stock returns are discontinuous (1976)Option pricing: A simplified approach (1979)On the Time Value of Ruin (1998)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A GARCH Option Pricing Model with Filtered Historical Simulation (2008)Mispricing of S&P 500 Index Options (2008)The Puzzle of Index Option Returns (2011)Modeling asset returns with alternative stable distributions (1993)Start-up size and industrial dynamics: some evidence from Italian manufacturing (1999)Multifractal analysis of financial markets: a review (2019)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (2009)Parametric and Nonparametric Volatility Measurement (2010)
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References

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  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 2000A Closed-Form GARCH Option Valuation Model972 cited
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A GARCH Model with Artificial Neural Networks
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