Liu, Yanxin; Li, Johnny Siu-Hang; Ng, Andrew Cheuk-Yin - In: The North American Journal of Economics and Finance 31 (2015) C, pp. 108-125
Recently, there has been a wave of work on option pricing under GARCH-type models with non-normal innovations. However, many of the existing valuation results rely on the existence of the moment generating function of the innovations’ distribution, thereby ruling out the use of heavy-tailed...