American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution

By Lars Stentoft. 2008

70 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9893f692ab668f8d350bbd505dc76fa99807880e

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In Economics and Econometrics

1. John W. Galbraith
2. Dongming Zhu

In Finance

1. John W. Galbraith
2. Dongming Zhu

Citations in the corpus

• Modeling and forecasting expected shortfall with the generalized asymmetric Student-t and asymmetric exponential power distributions (2011, background): “…(2009), here σ2t is specified to be subject to the non-linear asymmetric GARCH (NGARCH) structure of Engle and Ng (1993), which allows for leverage; Stentoft (2008), in the context of option pricing models, compares the NGARCH with the restriction to GARCH and finds that the more general NGARCH…”