Option pricing under GARCH models with Hansen's skewed-t distributed innovations

•A method for pricing options under skewed-t GARCH models is proposed.•The risk-neutralization method does not require the innovations’ MGF to exist.•The proposed pricing method has a potential to produce better pricing accuracy. Recently, there has been a wave of work on option pricing under GARCH-...

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Veröffentlicht in:	The North American journal of economics and finance 2015-01, Vol.31, p.108-125
Hauptverfasser:	Liu, Yanxin, Li, Johnny Siu-Hang, Ng, Andrew Cheuk-Yin
Format:	Artikel
Sprache:	eng
Schlagworte:	Canonical valuation Hansen's skewed-t distribution Innovations Maximum entropy measure Probability distribution Securities prices Stochastic models Studies Valuation methods
Online-Zugang:	Volltext
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