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https://hdl.handle.net/2440/72413
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DC Field | Value | Language |
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dc.contributor.author | Badescu, A. | - |
dc.contributor.author | Elliott, R. | - |
dc.contributor.author | Kulperger, R. | - |
dc.contributor.author | Miettinen, J. | - |
dc.contributor.author | Siu, T. | - |
dc.date.issued | 2011 | - |
dc.identifier.citation | International Journal of Theoretical and Applied Finance, 2011; 14(5):669-708 | - |
dc.identifier.issn | 0219-0249 | - |
dc.identifier.issn | 1793-6322 | - |
dc.identifier.uri | http://hdl.handle.net/2440/72413 | - |
dc.description.abstract | 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 by economic equilibrium arguments. This paper studies risk-neutral dynamics of various classes of Generalized Hyperbolic GARCH models arising from different price kernels. We discuss the properties of these dynamics and show that for some special cases, some pricing kernels considered here lead to similar risk neutral GARCH dynamics. Real data examples for pricing European options on the S&P 500 index emphasize the importance of the choice of a price kernel. | - |
dc.description.statementofresponsibility | Alexandru Badescu, Robert J. Elliott, Reg Kulperger, Jarkko Miettinen, Tak Kuen Siu | - |
dc.language.iso | en | - |
dc.publisher | World Scientific Publishing Co Pte Ltd | - |
dc.rights | Copyright World Scientific Publishing Company | - |
dc.source.uri | http://dx.doi.org/10.1142/s0219024911006401 | - |
dc.subject | Option pricing | - |
dc.subject | risk neutral valuation | - |
dc.subject | Generalized Hyperbolic GARCH | - |
dc.subject | extended Girsanov principle | - |
dc.subject | Esscher transform | - |
dc.subject | mean correcting martingale measure | - |
dc.subject | Radon-Nikodym derivative | - |
dc.title | A comparison of pricing kernels for garch option pricing with generalized hyperbolic distributions | - |
dc.type | Journal article | - |
dc.identifier.doi | 10.1142/S0219024911006401 | - |
pubs.publication-status | Published | - |
Appears in Collections: | Aurora harvest 5 Mathematical Sciences publications |
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