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American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). Stentoft, Lars.
In: CREATES Research Papers.
RePEc:aah:create:2008-41.

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  1. Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation. (2025). Fabozzi, Frank J ; Rachev, Svetlozar T ; Jha, Ayush ; Shirvani, Abootaleb ; Jaffri, Ali.
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  2. Noising the GARCH volatility: A random coefficient GARCH model. (2024). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim.
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  3. Non-linear volatility with normal inverse Gaussian innovations: ad-hoc analytic option pricing. (2024). Mozumder, Sharif ; Kabir, Humayun M ; Li, Bingxin ; Talukdar, Bakhtear.
    In: Review of Quantitative Finance and Accounting.
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  4. Option Valuation with Conditional Heteroskedastic Hidden Truncation Models. (2024). Belhachemi, Rachid.
    In: Computational Economics.
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  5. Improving variance forecasts: The role of Realized Variance features. (2023). Tzavalis, Elias ; Rompolis, Leonidas ; Papantonis, Ioannis.
    In: International Journal of Forecasting.
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  6. Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Tzavalis, Elias ; Papantonis, Ioannis ; Elias, Tzavalis ; Leonidas, Rompolis ; Ioannis, Papantonis ; Orestis, Agapitos.
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  7. ARMA–GARCH model with fractional generalized hyperbolic innovations. (2022). Ik, Sung.
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  8. Option pricing under stock market cycles with jump risks: evidence from the S&P 500 index. (2021). Shyu, So-De ; Wang, Shin-Yun ; Lin, Shih-Kuei ; Chuang, Ming-Che.
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  11. GARCH option pricing models with Meixner innovations. (2018). Fengler, Matthias ; Melnikov, Alexander.
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  12. Empirical Performance of GARCH Models with Heavy-tailed Innovations. (2017). Guo, Zi-Yi.
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  13. GARCH option pricing models with Meixner innovations. (2017). Fengler, Matthias ; Melnikov, Alexander.
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  14. A note on the Wang transform for stochastic volatility pricing models. (2016). Cui, Zhenyu ; Ortega, Juan-Pablo ; Badescu, Alexandru.
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  15. Volatility risk premium implications of GARCH option pricing models. (2016). Papantonis, Ioannis.
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  16. Option pricing with asymmetric heteroskedastic normal mixture models. (2015). Stentoft, Lars.
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  17. Non-Gaussian GARCH option pricing models and their diffusion limits. (2015). Elliott, Robert J ; Ortega, Juan-Pablo ; Badescu, Alexandru.
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  18. Option pricing under GARCH models with Hansens skewed-t distributed innovations. (2015). Liu, Yanxin ; Ng, Andrew Cheuk-Yin .
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  19. Which pricing approach for options under GARCH with non-normal innovations?. (2015). Stentoft, Lars ; Simonato, Jean-Guy.
    In: CREATES Research Papers.
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  20. Lévy jump risk: Evidence from options and returns. (2014). Ornthanalai, Chayawat.
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  21. The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options. (2014). Violante, Francesco ; Stentoft, Lars ; Rombouts, Jeroen.
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  22. Quadratic hedging schemes for non-Gaussian GARCH models. (2014). ELLIOTT, ROBERT J. ; Ortega, Juan-Pablo ; Badescu, Alexandru.
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  23. Bayesian option pricing using mixed normal heteroskedasticity models. (2014). Stentoft, Lars ; Rombouts, Jeroen V. K., .
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  24. American option pricing using simulation with an application to the GARCH model. (2013). Stentoft, Lars.
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  25. Quadratic hedging schemes for non-Gaussian GARCH models. (2013). ELLIOTT, ROBERT J. ; Ortega, Juan-Pablo ; Badescu, Alexandru.
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  26. GARCH Option Valuation: Theory and Evidence. (2012). Christoffersen, Peter ; Jacobs, Kris ; Ornthanalai, Chayawat.
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  27. Monte Carlo option pricing with asymmetric realized volatility dynamics. (2011). Scharth, Marcel ; Allen, David.
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  28. Multivariate option pricing with time varying volatility and correlations. (2011). Stentoft, Lars ; Rombouts, Jeroen ; Rombouts, Jeroen V. K., .
    In: Journal of Banking & Finance.
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  29. American option pricing with discrete and continuous time models: An empirical comparison. (2011). Stentoft, Lars.
    In: Journal of Empirical Finance.
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  30. Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions. (2011). Galbraith, John ; Zhu, Dongming.
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  31. What we can learn from pricing 139,879 Individual Stock Options. (2011). Stentoft, Lars.
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  32. American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison. (2011). Stentoft, Lars.
    In: CREATES Research Papers.
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  33. Multivariate Option Pricing with Time Varying Volatility and Correlations. (2010). Stentoft, Lars ; Rombouts, Jeroen ; Jeroen V. K. Rombouts, .
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  34. Tempered stable and tempered infinitely divisible GARCH models. (2010). Fabozzi, Frank ; Kim, Youngshin ; Rachev, Svetlozar T. ; Bianchi, Michele Leonardo.
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  35. Multivariate Option Pricing With Time Varying Volatility and Correlations. (2010). Stentoft, Lars ; Rombouts, Jeroen.
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  36. Multivariate Option Pricing with Time Varying Volatility and Correlations. (2010). Stentoft, Lars ; Rombouts, Jeroen ; Jeroen V. K. Rombouts, .
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  37. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models. (2009). Stentoft, Lars ; Rombouts, Jeroen ; Jeroen V. K. Rombouts, .
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  38. American GARCH employee stock option valuation. (2009). Vaello-Sebastià, Antoni ; Len, Angel.
    In: Journal of Banking & Finance.
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  39. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models. (2009). Stentoft, Lars ; Rombouts, Jeroen.
    In: CIRANO Working Papers.
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  40. Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models. (2009). Stentoft, Lars ; Rombouts, Jeroen.
    In: CREATES Research Papers.
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  41. Option Pricing using Realized Volatility. (2008). Stentoft, Lars.
    In: CREATES Research Papers.
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    RePEc:tky:fseres:2010cf738.

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  28. Forecasting volatility with support vector machine-based GARCH model. (2010). Härdle, Wolfgang ; Hardle, Wolfgang K. ; Chen, Shiyi ; Jeong, Kiho.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:29:y:2010:i:4:p:406-433.

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  29. Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student?s t-Distribution. (2010). Omori, Yasuhiro ; Nakajima, Jouchi.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf215.

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  30. American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution. (2008). Stentoft, Lars.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-41.

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  31. Gamma stochastic volatility models. (2006). Sivakumar, Ranjini ; Balakrishna, N. ; Abraham, Bovas.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:25:y:2006:i:3:p:153-171.

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  32. Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH. (2006). Veiga, Helena ; Ruiz, Esther.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws066016.

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  33. Stylized Facts of Financial Time Series and Three Popular Models of Volatility. (2004). Teräsvirta, Timo ; Malmsten, Hans.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0563.

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  34. A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns. (2004). Saikkonen, Pentti ; Lanne, Markku.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:469.

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  35. The Mean Variance Mixing GARCH (1,1) model. (2004). Forsberg, Lars ; Eriksson, Anders.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:323.

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  36. Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model. (2002). Bollerslev, Tim ; Forsberg, Lars.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:5:p:535-548.

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