Guegan, Dominique; Lalaharison, Hanjarivo - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010
In this paper, we provide exact formulas for the pricing of European options under the risk neutral measure, whereas under the historic measure the data follow two types of models : a GARCH process with Lévy innovations, or a GARCH process with Poisson jumps. This approach aims to take...