GARCH option pricing models with Meixner innovations
Journal
Review of Derivatives Research
Type
journal article
Date Issued
2018
Author(s)
Abstract (De)
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.
Language
English
Keywords
GARCH
Meixner distribution
option pricing
HSG Classification
contribution to scientific community
HSG Profile Area
SEPS - Quantitative Economic Methods
Refereed
Yes
Publisher
Springer
Number
21
Start page
277
End page
305
Pages
28
Subject(s)
Eprints ID
253500