The modified tempered stable distribution, GARCH models and option pricing

• Autorzy: Kim Y. S. , Rachev S. T. , Chung D. M. , Bianchi M. L.
• Języki publikacji: EN

Abstrakty

EN

We introduce a new variant of the tempered stable distribution, named the modified tempered stable (MTS) distribution and we develop a GARCH option pricing model with MTS innovations. This model allows the description of some stylized empirical facts observed in financial markets, such as volatility clustering, skewness, and heavy tails of stock returns. To demonstrate the advantages of the MTS-GARCH model, we present the results of the parameter estimation.

Słowa kluczowe

EN

option pricing; GARCH process; tempered stable distribution; volatility clustering

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2009
• Tom: Vol. 29, Fasc. 1
• Strony: 91--117
• Opis fizyczny: Bibliogr.20 poz., tab., wykr.

Twórcy

autor

Kim Y. S.

• Department of Statistics, Econometrics and Mathematical Finance, School of Economics and Business Engineering, University of Karlsruhe and KIT, Kollegium am Schloss, Bau II, 20.12, R210, Postfach 6980, D-76128, Karlsruhe, Germany

autor

Rachev S. T.

• Chair of Statistics, Econometrics and Mathematical Finance, School of Economics and Business Engineering, University of Karlsruhe and KIT Kollegium am Schloss, Bau II, 20.12, R210, Postfach 6980, D-76128, Karlsruhe, Germany
• Department of Statistics and Applied Probability, University of California, Santa Barbara, USA
• FinAnalytica Inc

autor

Chung D. M.

• Department of Mathematics, The Catholic University of Korea, 43-1 Yeokgok 2-dong, Wonmi-gu, Bucheon-si, Gyeonggi-do, 420-743, Korea

autor

Bianchi M. L.

• Department of Mathematics, Statistics, Computer Science and Applications, University of Bergamo, Via dei Caniana 2, I-24127, Bergamo, Italy

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