framework that can alleviate some of the drawbacks of traditional approaches. A new jump–diffusion option pricing model and a …

dataset and introducing non-Gaussian innovations, the pricing kernel puzzle that arises in Jackwerth (2000) disappears both in …

We develop a discrete-time stochastic volatility option pricing model, which exploits the information contained in high … competing time-varying (i.e. GARCH-type) and stochastic volatility pricing models. The pricing improvement can be ascribed to …

We propose a new method for pricing options based on GARCH models with filtered historical innovations. In an … incomplete market framework, we allow for different distributions of historical and pricing return dynamics enhancing the model … outperforms other competing GARCH pricing models and ad hoc Black-Scholes models. We show that the flexible change of measure, the …

provide closed-form solutions for some generic pricing problems …