Nonparametric option pricing under Beta-t-GARCH process with dynamic conditional score

One of the advantages of nonparametric option pricing methods is that they only require a set of future price scenarios, eliminating the need for an explicit risk-neutral model for the price of the underlying asset. In this paper, we explore the score-driven Beta-t-GARCH volatility model, introduced...

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Veröffentlicht in:	Revista Brasileira de Finanças 2023-07, Vol.21 (3), p.73-98
1. Verfasser:	Pereira, Manoel F. de S
Format:	Artikel
Sprache:	eng
Schlagworte:	Arbitrage Experiments Innovations Methods Nonparametric statistics Normal distribution Random variables Securities prices Skewness Stochastic models Time series Volatility
Online-Zugang:	Volltext
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