Implied Pricing Kernels: An Alternative Approach for Option Valuation

2013 ◽  
Vol 35 (2) ◽  
pp. 127-147 ◽  
Author(s):  
Doojin Ryu ◽  
Jangkoo Kang ◽  
Sangwon Suh
Keyword(s):  
Option Valuation ◽  
Alternative Approach ◽  
Pricing Kernels

OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING

2006 ◽  
Vol 09 (06) ◽  
pp. 825-841 ◽  
Author(s):  
ROBERT J. ELLIOTT ◽  
TAK KUEN SIU ◽  
LEUNGLUNG CHAN
Keyword(s):  
Markov Switching ◽  
Martingale Measure ◽  
Maximization Problem ◽  
Option Valuation ◽  
Chain Process ◽  
Esscher Transform ◽  
Actuarial Science ◽  
Power Utility ◽  
Alternative Approach ◽  
Utility Maximization Problem

In this paper we develop a method for pricing derivatives under a Markov switching version of the Heston-Nandi GARCH (1, 1) model by using a well known tool from actuarial science, namely the Esscher transform. We suppose that the dynamics of the GARCH process switch over time according to one of the regimes described by the states of an observable Markov chain process. By augmenting the conditional Esscher transform with the observable Markov switching process, a Markov switching conditional Esscher transform (MSCET) is developed to identify a martingale measure for option valuation in the incomplete market described by our model. We provide an alternative approach for the derivation of an analytical option valuation formula under the Markov switching Heston-Nandi GARCH (1, 1) model. The use of the MSCET can be justified by considering a utility maximization problem with respect to a power utility function associated with the Markov switching risk-averse parameters.

scholarly journals Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels

2014 ◽  
Author(s):  
Kadir G. Babaoglu ◽  
Peter Christoffersen ◽  
Steven L. Heston ◽  
Kris Jacobs
Keyword(s):  
Nonlinear Pricing ◽  
Option Valuation ◽  
Fat Tails ◽  
Pricing Kernels

scholarly journals Option Valuation with Volatility Components, Fat Tails, and Nonmonotonic Pricing Kernels*

2017 ◽  
Vol 8 (2) ◽  
pp. 183-231 ◽  
Author(s):  
Kadir Babaoğlu ◽  
Peter Christoffersen ◽  
Steven Heston ◽  
Kris Jacobs
Keyword(s):  
Option Valuation ◽  
Fat Tails ◽  
Pricing Kernels

V940: Pre-Pubic SPARC for Stress Urinary Incontinence: An Alternative Approach for Scarred Retzius Space

2004 ◽  
Vol 171 (4S) ◽  
pp. 249-249
Author(s):  
Paulo Palma ◽  
Cassio Riccetto ◽  
Marcelo Thiel ◽  
Miriam Dambros ◽  
Rogerio Fraga ◽  
...  
Keyword(s):  
Urinary Incontinence ◽  
Stress Urinary Incontinence ◽  
Alternative Approach

An alternative approach to treating delinquent youth

1986 ◽  
Vol 3 (3) ◽  
pp. 65-85
Author(s):  
Donald E. Weber ◽  
William H. Burke
Keyword(s):  
Delinquent Youth ◽  
Alternative Approach
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