Option valuation with normal mixture GARCH models

Studies in Nonlinear Dynamics and Econometrics

Volumn 12, Issue 2, 2008, Pages

  Badescu, Alex ^a   Kulperger, Reg ^b   Lazar, Emese ^c  

^a UNIVERSITY OF CALGARY   (Canada)

^b UNIVERSITY OF WESTERN ONTARIO   (Canada)

^c UNIVERSITY OF READING   (United Kingdom)

Author keywords

Esscher transform; Extended Girsanov principle; GARCH; Option pricing

Indexed keywords

EID: 44849140766     PISSN: 10811826     EISSN: 15583708     Source Type: Journal    
DOI: 10.2202/1558-3708.1580     Document Type: Article

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