A GARCH option pricing model with [alpha]-stable innovations
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Badescu Alex & Kulperger Reg & Lazar Emese, 2008. "Option Valuation with Normal Mixture GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(2), pages 1-42, May.
- Christian Menn & Svetlozar Rachev, 2009. "Smoothly truncated stable distributions, GARCH-models, and option pricing," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 411-438, July.
- De Genaro, Alan, 2016. "Systematic multi-period stress scenarios with an application to CCP risk management," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 119-134.
- Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo, 2015. "Non-Gaussian GARCH option pricing models and their diffusion limits," European Journal of Operational Research, Elsevier, vol. 247(3), pages 820-830.
- repec:eee:phsmap:v:486:y:2017:i:c:p:628-637 is not listed on IDEAS
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