scholarly journals A theory of non‐Gaussian option pricing

2002 ◽  
Vol 2 (6) ◽  
pp. 415-431 ◽  
Author(s):  
Lisa Borland
Keyword(s):  
Option Pricing ◽  
Non Gaussian

Learning for infinitely divisible GARCH models in option pricing

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Fumin Zhu ◽  
Michele Leonardo Bianchi ◽  
Young Shin Kim ◽  
Frank J. Fabozzi ◽  
Hengyu Wu
Keyword(s):  
Option Pricing ◽  
Stock Returns ◽  
Bayesian Learning ◽  
Space Structure ◽  
Estimation Methods ◽  
Garch Models ◽  
Learning Approaches ◽  
Infinitely Divisible ◽  
Asymmetric Garch ◽  
Non Gaussian

AbstractThis paper studies the option valuation problem of non-Gaussian and asymmetric GARCH models from a state-space structure perspective. Assuming innovations following an infinitely divisible distribution, we apply different estimation methods including filtering and learning approaches. We then investigate the performance in pricing S&P 500 index short-term options after obtaining a proper change of measure. We find that the sequential Bayesian learning approach (SBLA) significantly and robustly decreases the option pricing errors. Our theoretical and empirical findings also suggest that, when stock returns are non-Gaussian distributed, their innovations under the risk-neutral measure may present more non-normality, exhibit higher volatility, and have a stronger leverage effect than under the physical measure.

scholarly journals A theory of non-Gaussian option pricing

2007 ◽  
Vol 7 (6) ◽  
pp. 701-701 ◽  
Author(s):  
Lisa Borland
Keyword(s):  
Option Pricing ◽  
Non Gaussian

Comments on ‘A theory of non-Gaussian option pricing’

2007 ◽  
Vol 7 (6) ◽  
pp. 697-699 ◽  
Author(s):  
Gil Adams ◽  
Yuhua Yuan ◽  
Michael Kelly
Keyword(s):  
Option Pricing ◽  
Non Gaussian

scholarly journals Option pricing with non-Gaussian scaling and infinite-state switching volatility

2015 ◽  
Vol 187 (2) ◽  
pp. 486-497 ◽  
Author(s):  
Fulvio Baldovin ◽  
Massimiliano Caporin ◽  
Michele Caraglio ◽  
Attilio L. Stella ◽  
Marco Zamparo
Keyword(s):  
Option Pricing ◽  
State Switching ◽  
Non Gaussian ◽  
Infinite State
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