GARCH option pricing models with Meixner innovations

被引：0
|
作者：
Fengler, Matthias R. [1 ]
Melnikov, Alexander [1 ]
机构：
[1] Univ St Gallen, Sch Econ & Polit Sci, Bodanstr 6, CH-9000 St Gallen, Switzerland
来源：
REVIEW OF DERIVATIVES RESEARCH | 2018年 / 21卷 / 03期
关键词：
GARCH models; Meixner distribution; Esscher transform; Option pricing; G13; C22; DISTRIBUTIONS; VOLATILITY; SIMULATION; VALUATION;
D O I：
10.1007/s11147-017-9141-7
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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 benchmark models. Simulations suggest that the driver of these results is the impact of conditional skewness and conditional excess kurtosis on option prices.
引用
收藏
页码：277 / 305
页数：29
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