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- W2033901649 abstract "We develop an option pricing model which is based on a GARCH asset return process with α-stable innovations with truncated tails. The approach utilizes a canonic martingale measure as pricing measure which provides the possibility of a model calibration to market prices. The GARCH-stable option pricing model allows the explanation of some well-known anomalies in empirical data as volatility clustering and heavy tailedness of the return distribution. Finally, the results of Monte Carlo simulations concerning the option price and the implied volatility with respect to different strike and maturity levels are presented." @default.
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- W2033901649 date "2005-05-01" @default.
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- W2033901649 title "A GARCH option pricing model with α-stable innovations" @default.
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- W2033901649 doi "https://doi.org/10.1016/j.ejor.2004.01.009" @default.
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