A GARCH option pricing model with α-stable innovations

European Journal of Operational Research

Volumn 163, Issue 1, 2005, Pages 201-209

  Menn, Christian ^a   Rachev, Svetlozar T ^b  

^a UNIVERSITY OF KARLSRUHE   (Germany)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

GARCH processes; Option pricing; Stable distributions; Tail truncation; Volatility smile

Indexed keywords

FINANCE; FINANCIAL DATA PROCESSING; INVENTORY CONTROL; MARKETING; MATHEMATICAL OPERATORS; MONTE CARLO METHODS; RANDOM PROCESSES; RISK ASSESSMENT;

GARCH PROCESSES; OPTION PRICING; STABLE DISTRIBUTION; TAIL TRUNCATION; VOLATILITY SMILE;

ECONOMICS;

EID: 9944259792     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2004.01.009     Document Type: Conference Paper

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