Risk-neutral option pricing under GARCH intensity model

Kyungsub Lee

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Abstract: The risk-neutral option pricing method under GARCH intensity model is examined. The GARCH intensity model incorporates the characteristics of financial return series such as volatility clustering, leverage effect and conditional asymmetry. The GARCH intensity option pricing model has flexibility in changing the volatility according to the probability measure change.

Date: 2019-08
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Published in International Journal of Pure and Applied Mathematics, 114, pp. 619-638, 2017

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