Option pricing in a Garch model with tempered stable innovations
β Scribed by Lorenzo Mercuri
- Book ID
- 116494814
- Publisher
- Elsevier Science
- Year
- 2008
- Tongue
- English
- Weight
- 506 KB
- Volume
- 5
- Category
- Article
- ISSN
- 1544-6123
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π SIMILAR VOLUMES
On the basis of the theory of a wedge between the physical and riskβneutral conditional volatilities in Christoffersen, P., Elkamhi, R., Feunou, B., & Jacobs, K. (2010), we develop a modification of the GARCH option pricing model with the filtered historical simulation proposed in BaroneβAdesi, G.,
A model for option pricing of a (Ξ³ , 2H)-fractional Black-Merton-Scholes equation driven by the dynamics of a stock price S(t) satisfying (dS , where B H (t) is a fractional Brownian motion with Hurst exponent H β (0, 1), is established. We obtain the explicit option pricing formulas for the Europe