The key problem for option pricing in Garch models is that the risk-neutral distribution of the underlying at maturity is unknown. Heston and Nandi solved this problem by computing the characteristic function of the underlying by a recursive procedure. Following the same idea, Christoffersen, Heston and Jacobs proposed a Garch-like model with inverse Gaussian innovations and recently Bellini and Mercuri obtained a similar procedure in a model with Gamma innovations. We present a model with tempered stable innovations that encompasses both the CHJ and the BM models as special cases. The proposed model is calibrated on S&P500 closing option prices and its performance is compared with the CHJ, the BM and the Heston–Nandi models.
Mercuri, L. (2008). Option pricing in a Garch model with tempered stable innovations. FINANCE RESEARCH LETTERS, 5(3), 172-182.
Citazione: | Mercuri, L. (2008). Option pricing in a Garch model with tempered stable innovations. FINANCE RESEARCH LETTERS, 5(3), 172-182. |
Tipo: | Articolo in rivista - Articolo scientifico |
Carattere della pubblicazione: | Scientifica |
Titolo: | Option pricing in a Garch model with tempered stable innovations |
Autori: | Mercuri, L |
Autori: | |
Data di pubblicazione: | 2008 |
Lingua: | English |
Rivista: | FINANCE RESEARCH LETTERS |
Digital Object Identifier (DOI): | http://dx.doi.org/10.1016/j.frl.2008.05.003 |
Appare nelle tipologie: | 01 - Articolo su rivista |
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