Non-Gaussian GARCH option pricing models and their diffusion limits-Reference-Cited by-同舟云学术

Non-Gaussian GARCH option pricing models and their diffusion limits

Published:2015-12 Issue:3 Volume:247 Page:820-830
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Badescu Alexandru,Elliott Robert J.,Ortega Juan-Pablo

Publisher

Elsevier BV

Subject

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

Reference38 articles.

1. On the continuous limit of GARCH;Alexander;ICMA Centre Discussion Papers in Finance,2005

2. A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions;Badescu;International Journal of Theoretical and Applied Finance,2011

3. GARCH option pricing: A semiparametric approach;Badescu;Insurance: Mathematics and Economics,2008

4. Option valuation with Normal Mixture GARCH models;Badescu;Studies in Nonlinear Dynamics and Econometrics,2008

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

Cited by 22 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options;European Journal of Operational Research;2024-05

2. On the Relation between Discrete and Continuous-Time Affine Option Pricing Models;2024

3. Non-linear volatility with normal inverse Gaussian innovations: ad-hoc analytic option pricing;Review of Quantitative Finance and Accounting;2023-09-10

4. Option pricing under stochastic volatility models with latent volatility;Quantitative Finance;2023-06-13

5. Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing;International Review of Financial Analysis;2023-05