A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS

被引：11

作者：

Badescu, Alexandru ^{[1
]}

Elliott, Robert J. ^{[2
,3
]}

Kulperger, Reg ^{[4
]}

Miettinen, Jarkko ^{[5
]}

Siu, Tak Kuen ^{[6
]}

机构：

[1] Univ Calgary, Dept Math & Stat, Calgary, AB, Canada

[2] Univ Adelaide, Dept Math Sci, Adelaide, SA, Australia

[3] Univ Calgary, Haskayne Sch Business, Calgary, AB, Canada

[4] Univ Western Ontario, Dept Stat & Actuarial Sci, London, ON, Canada

[5] Univ Helsinki, Dept Math & Stat, Helsinki, Finland

[6] Macquarie Univ, Fac Business & Econ, Dept Appl Finance & Actuarial Studies, Sydney, NSW, Australia

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2011年 / 14卷 / 05期

基金：

加拿大自然科学与工程研究理事会;

关键词：

Option pricing; risk neutral valuation; Generalized Hyperbolic GARCH; extended Girsanov principle; Esscher transform; mean correcting martingale measure; Radon-Nikodym derivative;

D O I：

10.1142/S0219024911006401

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Under discrete-time GARCH models markets are incomplete so there is more than one price kernel for valuing contingent claims. This motivates the quest for selecting an appropriate price kernel. Different methods have been proposed for the choice of a price kernel. Some of them can be justified by economic equilibrium arguments. This paper stud-ies risk-neutral dynamics of various classes of Generalized Hyperbolic GARCH models arising from different price kernels. We discuss the properties of these dynamics and show that for some special cases, some pricing kernels considered here lead to similar risk neutral GARCH dynamics. Real data examples for pricing European options on the S&P 500 index emphasize the importance of the choice of a price kernel.

引用

页码：669 / 708

页数：40

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