GARCH option pricing models with Meixner innovations

The paper presents GARCH option pricing models with Meixner-distributed innovations. The risk-neutral dynamics are derived by means of the conditional Esscher transform. Assessing the option pricing performance both in-sample and out-of-sample, we find that the models compare favorably against the b...

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Veröffentlicht in:	Review of derivatives research 2018-10, Vol.21 (3), p.277-305
Hauptverfasser:	Fengler, Matthias R., Melnikov, Alexander
Format:	Artikel
Sprache:	eng
Schlagworte:	Benchmarks Derivatives Economics and Finance Finance Investments and Securities Securities prices Simulation Stochastic models Studies
Online-Zugang:	Volltext
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