Option pricing in a Garch model with tempered stable innovations
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References listed on IDEAS
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- Fengler, Matthias & Melnikov, Alexander, 2017. "GARCH option pricing models with Meixner innovations," Economics Working Paper Series 1702, University of St. Gallen, School of Economics and Political Science.
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More about this item
KeywordsOption pricing Garch Tempered stable distribution Semi-analytical valuation Esscher transform;
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