Option pricing in ARCH-type models

被引：43
|
作者：
Kallsen, J
Taqqu, MS
机构：
[1] Univ Freiburg, Inst Math Stochast, D-79104 Freiburg, Germany
[2] Boston Univ, Dept Math, Boston, MA 02215 USA
来源：
MATHEMATICAL FINANCE | 1998年 / 8卷 / 01期
关键词：
option pricing; ARCH; no arbitrage;
D O I：
10.1111/1467-9965.00042
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
ARCH models have become popular for modeling financial lime series. They seem, at first, however, to be incompatible with the option pricing approach of Black, Scholes, Merton et al., because they are discrete-time models and possess too much variability. We show that completeness of the market holds for a broad class of ARCH-type models defined in a suitable continuous-time fashion. As an example we focus on the GARCH(1,1)-M model and obtain, through our method, the same pricing formula as Duan, who applied equilibrium-type arguments.
引用
收藏
页码：13 / 26
页数：14
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