This document has not been cited yet.

1. Babaoglou, K. G., Christoffersen, P., Heston, S. L. and Jacobs, K. (2014). Option valuation with volatility components, fat tails, and nonlinear pricing kernels, CREATES Research Papers 2015–55, Department of Economics and Business Economics, Aarhus University.

2. Badescu, A. and Kulperger, R. (2008). GARCH option pricing: A semiparametric approach, Insurance: Mathematics and Economics 43(1): 69 – 84.

3. Badescu, A., Cui, Z. and Ortega, J.-P. (2015). Non-affine GARCH option pricing models, variance dependent kernels, and diffusion limits, Technical report.
   Paper not yet in RePEc: Add citation now
   

4. Badescu, A., Elliott, R. J., Kulperger, R., Miettinen, J. and Siu, T. K. (2011). A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions, International Journal of Theoretical and Applied Finance 14(05): 669–708.

5. Barone-Adesi, G., Engle, R. F. and Mancini, L. (2008). A GARCH option pricing model with filtered historical simulation, Review of Financial Studies 21(3): 1223–1258.

6. Black, F. and Scholes, M. (1973). The pricing of options and corporate liabilities, Journal of Political Economy 81: 637–654.

7. Bollerslev, T. (1986). Generalized autoregressive conditional heteroscedasticity, Journal of Econometrics 31: 307–327.

8. Bühlmann, H., Delbaen, F., Embrechts, P. and Shiryaev, A. (1996). No arbitrage, change of measure and conditional Esscher transform, CWI Quarterly 9: 291–317.
   Paper not yet in RePEc: Add citation now
   

9. Chorro, C., Guégan, D. and Ielpo, F. (2012). Option pricing for GARCH-type models with generalized hyperbolic innovations, Quantitative Finance 12(7): 1079–1094.

10. Christoffersen, P. and Jacobs, K. (2004). Which GARCH model for option valuation?, Management Science 50(9): 1204–1221.

11. Christoffersen, P., Elkamhi, R., Feunou, B. and Jacobs, K. (2010). Option valuation with conditional heteroskedasticity and nonnormality, Review of Financial Studies 23(5): 2139–2183.

12. Christoffersen, P., Heston, S. and Jacobs, K. (2006). Option valuation with conditional skewness, Journal of Econometrics 131: 253–284.

13. Christoffersen, P., Heston, S. and Jacobs, K. (2013). Capturing option anomalies with a variance-dependent pricing kernel, Review of Financial Studies 26(8): 1963–2006.

14. Conrad, C. and Mammen, E. (2015). Asymptotics for parametric GARCH-in-Mean models, Working Papers 0579, University of Heidelberg, Department of Economics.

15. Duan, J. C. (1995). The GARCH option pricing model, Mathematical Finance 5: 13–32.

16. Duan, J. C. and Simonato, J. G. (1998). Empirical martingale simulation for asset prices, Management Science 44(9): 1218–1233.

17. Engle, R. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica 50(4): 987–1007.

18. Engle, R. F., Lilien, D. M. and Russell, P. R. (1987). Estimating time varying risk premia in the term structure: the ARCH-M model, Econometrica 55(2): 391–407.

19. Fengler, M. R., Herwartz, H. and Werner, C. (2012). A dynamic copula approach to recovering the index implied volatility skew, Journal of Financial Econometrics 10(3): 457–493.

20. Francq, C. and Zakoı̈an, J.-M. (2004). Maximum likelihood estimation of pure GARCH and ARMA–GARCH processes, Bernoulli 10(4): 605–637.
    Paper not yet in RePEc: Add citation now
    
21. Gerber, H. and Shiu, E. (1994). Option pricing by Esscher transforms, Transactions of the Society of Actuaries 46: 98–140.
    Paper not yet in RePEc: Add citation now
    

22. Glosten, L., Jagannathan, R. and Runkle, D. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks, The Journal of Finance 48(5): 1779–1801.

23. Gouriéroux, C. and Monfort, A. (2007). Econometric specification of stochastic discount factor models, Journal of Econometrics 136: 509–530.

24. Grigelionis, B. (1999). Processes of Meixner type, Lithuanian Mathematical Journal 39(1): 33–41.
    Paper not yet in RePEc: Add citation now
    
25. Grigelionis, B. (2001). Generalized z-distributions and related stochastic processes, Lithuanian Mathematical Journal 41(3): 239–251.
    Paper not yet in RePEc: Add citation now
    
26. Grigoletto, M. and Provasi, C. (2008). Simulation and estimation of the Meixner distribution, Communications in Statistics – Simulation and Computation 38(1): 58–77.
    Paper not yet in RePEc: Add citation now
    

27. Härdle, W. and Hafner, C. M. (2000). Discrete time option pricing with flexible volatility estimation, Finance and Stochastics 4(2): 189–207.

28. Hull, J. and White, A. (1987). The pricing of options on assets with stochastic volatilities, Journal of Finance 42: 281–300.

29. Majewski, A. A., Bormetti, G. and Corsi, F. (2015). Smile from the past: A general option pricing framework with multiple volatility and leverage components, Journal of Econometrics 187(2): 521 – 531. Econometric Analysis of Financial Derivatives.

30. Meitz, M. and Saikkonen, P. (2011). Parameter estimation in nonlinear AR-GARCH models, Econometric Theory 27: 1236–1278.

31. Mercuri, L. (2008). Option pricing in a GARCH model with tempered stable innovations, Finance Research Letters 5(3): 172–182.

32. Merton, R. C. (1973). Theory of rational option pricing, Bell Journal of Economics and Management Science 4(Spring): 141–183.

33. Moolman, G. P. (2008). Option pricing : a GARCH model with Lévy process innovations, PhD thesis, University of Johannesburg.
    Paper not yet in RePEc: Add citation now
    
34. Samuelson, P. A. (1965). Rational theory of warrant prices, Industustrial Management Review 6: 13–31.
    Paper not yet in RePEc: Add citation now
    
35. Schoutens, W. (2002). The Meixner process: theory and applications in finance, Technical Report 2002–004, K.U. Leuven.
    Paper not yet in RePEc: Add citation now
    
36. Schoutens, W. and Teugels, J. L. (1998). Lévy processes, polynomials and martingales, Communications in Statistics. Stochastic Models 14(1–2): 335–349.
    Paper not yet in RePEc: Add citation now
    
37. Siu, T. K., Tong, H. and Yang, H. (2004). On pricing derivatives under GARCH models: A dynamic Gerber-Shui’s approach, North American Actuarial Journal 8(3): 17–31.
    Paper not yet in RePEc: Add citation now
    

38. Stentoft, L. (2008). American option pricing using GARCH models and the normal inverse Gaussian distribution, Journal of Financial Econometrics 6(4): 540–582.

39. Taylor, S. (2008). Modelling Financial Time Series, 2nd edn, World Scientific Publishing.
    Paper not yet in RePEc: Add citation now
    

1. An asymmetric volatility analysis of the negative oil price during the first COVID-19 wave. (2025). Sssmuth, Bernd ; Birnstengel, Carolin.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:100:y:2025:i:c:s1057521925000468.

   Full description at Econpapers || Download paper

2. 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.
   RePEc:kap:rqfnac:v:62:y:2024:i:1:d:10.1007_s11156-023-01195-8.

   Full description at Econpapers || Download paper

3. Estimating volatility clustering and variance risk premium effects on bank default indicators. (2021). Çevik, Emrah ; Kenc, Turalay ; Cevik, Emrah Ismail.
   In: Review of Quantitative Finance and Accounting.
   RePEc:kap:rqfnac:v:57:y:2021:i:4:d:10.1007_s11156-021-00981-6.

   Full description at Econpapers || Download paper

4. Using Value-at-Risk for effective energy portfolio risk management. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos.
   In: MPRA Paper.
   RePEc:pra:mprapa:91674.

   Full description at Econpapers || Download paper

5. Risk Measurement. (2019). Hassani, Bertrand K ; Guegan, Dominique.
   In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
   RePEc:hal:cesptp:halshs-02119256.

   Full description at Econpapers || Download paper

6. Effective energy commodity risk management: Econometric modeling of price volatility. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos S.
   In: Economic Analysis and Policy.
   RePEc:eee:ecanpo:v:63:y:2019:i:c:p:234-250.

   Full description at Econpapers || Download paper

7. Good jump, bad jump, and option valuation. (2018). Yang, Xinglin.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:38:y:2018:i:9:p:1097-1125.

   Full description at Econpapers || Download paper

8. Effective energy commodities’ risk management: Econometric modeling of price volatility. (2018). HALKOS, GEORGE ; Tzirivis, Apostolos.
   In: MPRA Paper.
   RePEc:pra:mprapa:90781.

   Full description at Econpapers || Download paper

9. GARCH option pricing models with Meixner innovations. (2018). Fengler, Matthias ; Melnikov, Alexander.
   In: Review of Derivatives Research.
   RePEc:kap:revdev:v:21:y:2018:i:3:d:10.1007_s11147-017-9141-7.

   Full description at Econpapers || Download paper

10. The pricing kernel puzzle in forward looking data. (2018). Jackwerth, Jens Carsten ; Cuesdeanu, Horatio.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:21:y:2018:i:3:d:10.1007_s11147-017-9140-8.

    Full description at Econpapers || Download paper

11. The pricing kernel puzzle: survey and outlook. (2018). Jackwerth, Jens Carsten ; Cuesdeanu, Horatio.
    In: Annals of Finance.
    RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9.

    Full description at Econpapers || Download paper

12. Testing for leverage effects in the returns of US equities. (2018). Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique ; Chorro, Christophe.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

    Full description at Econpapers || Download paper

13. GARCH option pricing models with Meixner innovations. (2017). Fengler, Matthias ; Melnikov, Alexander.
    In: Economics Working Paper Series.
    RePEc:usg:econwp:2017:02.

    Full description at Econpapers || Download paper

14. Non-Gaussian GARCH option pricing models and their diffusion limits. (2015). Elliott, Robert J ; Ortega, Juan-Pablo ; Badescu, Alexandru.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:247:y:2015:i:3:p:820-830.

    Full description at Econpapers || Download paper

15. Option pricing under GARCH models with Hansens skewed-t distributed innovations. (2015). Liu, Yanxin ; Ng, Andrew Cheuk-Yin .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:31:y:2015:i:c:p:108-125.

    Full description at Econpapers || Download paper

16. Model risk of the implied GARCH-normal model. (2014). Huang, Shih-Feng ; Guo, Meihui.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:14:y:2014:i:12:p:2215-2224.

    Full description at Econpapers || Download paper

17. Diagnosing the distribution of GARCH innovations. (2014). Zhou, Chen ; Sun, Pengfei.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:29:y:2014:i:c:p:287-303.

    Full description at Econpapers || Download paper

18. Quadratic hedging schemes for non-Gaussian GARCH models. (2014). ELLIOTT, ROBERT J. ; Ortega, Juan-Pablo ; Badescu, Alexandru.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:42:y:2014:i:c:p:13-32.

    Full description at Econpapers || Download paper

19. Quadratic hedging schemes for non-Gaussian GARCH models. (2013). ELLIOTT, ROBERT J. ; Ortega, Juan-Pablo ; Badescu, Alexandru.
    In: Papers.
    RePEc:arx:papers:1209.5976.

    Full description at Econpapers || Download paper

20. Semiparametric EGARCH model with the case study of China stock market. (2011). Wu, Xingcui ; Yang, HU.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:28:y:2011:i:3:p:761-766.

    Full description at Econpapers || Download paper

21. Esscher transforms and consumption-based models. (2009). Siu, Tak Kuen ; ELLIOTT, ROBERT J. ; Badescu, Alex.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:45:y:2009:i:3:p:337-347.

    Full description at Econpapers || Download paper

Report date: 2025-10-04 15:01:30 || Missing content? Let us know