GARCH option pricing: A semiparametric approach

Insurance: Mathematics and Economics

Volumn 43, Issue 1, 2008, Pages 69-84

  Badescu, Alexandru M ^a   Kulperger, Reg J ^b  

^a UNIVERSITY OF CALGARY   (Canada)

^b UNIVERSITY OF WESTERN ONTARIO   (Canada)

Author keywords

Esscher transform; Extended Girsanov principle; GARCH; Kernel density estimator; Option pricing; Semiparametric pricing

Indexed keywords

EID: 47249162912     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2007.09.011     Document Type: Article

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