A GARCH option pricing model with α-stable innovations-Reference-Cited by-同舟云学术

A GARCH option pricing model with α-stable innovations

Published:2005-05 Issue:1 Volume:163 Page:201-209
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Menn Christian,Rachev Svetlozar T.

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference16 articles.

1. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

2. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986

3. The pricing of contingent claims in discrete time models;Brennan;Journal of Finance,1979

4. The GARCH option pricing model;Duan;Mathematical Finance,1995

5. The behavior of stock market prices;Fama;Journal of Business,1965

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