Option pricing in a Garch model with tempered stable innovations

Finance Research Letters

Volumn 5, Issue 3, 2008, Pages 172-182

  Mercuri, Lorenzo ^a  

^a UNIVERSITY OF MILANO BICOCCA   (Italy)

Author keywords

Esscher transform; Garch; Option pricing; Semi analytical valuation; Tempered stable distribution

Indexed keywords

EID: 50249138176     PISSN: 15446123     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.frl.2008.05.003     Document Type: Article

References (16)

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