Search Results - subject:"Extended Girsanov principle"

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Option pricing in regime-switching frameworks with the Extended Girsanov Principle

Godin, Frédéric; Trottier, Denis-Alexandre - In: Insurance / Mathematics & economics 99 (2021), pp. 116-129

Persistent link: https://www.econbiz.de/10012649213

Variance swaps valuation under non-affine GARCH models and their diffusion limits

Badescu, Alexandru; Chen, Yuyu; Couch, Matthew; Cui, Zhenyu - In: Quantitative finance 19 (2019) 2, pp. 227-246

Persistent link: https://www.econbiz.de/10012194650

Non-Gaussian GARCH option pricing models and their diffusion limits

Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: European journal of operational research : EJOR 247 (2015) 3, pp. 820-830

Persistent link: https://www.econbiz.de/10011386309

A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions

Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; … - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 669-708

Persistent link: https://www.econbiz.de/10009298478

A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS

BADESCU, ALEXANDRU; ELLIOTT, ROBERT J.; KULPERGER, REG; … - In: International Journal of Theoretical and Applied … 14 (2011) 05, pp. 669-708

Under discrete-time GARCH models markets are incomplete so there is more than one price kernel for valuing contingent claims. This motivates the quest for selecting an appropriate price kernel. Different methods have been proposed for the choice of a price kernel. Some of them can be justified...

Persistent link: https://www.econbiz.de/10009245356

Option Valuation with Normal Mixture GARCH Models

Badescu, Alex; Kulperger, Reg; Lazar, Emese - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 2, pp. 1580-1580

Girsanov principle. We investigate the out-of-sample performance of an asymmetric GARCH model with a mixture density of two … risk-neutral candidates: a generalized local risk neutral valuation relationship, an Esscher transform and an extended …

Persistent link: https://www.econbiz.de/10005579859