| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5069716 | Finance Research Letters | 2012 | 13 Pages |
Abstract
⺠Option pricing with general ARCH processes for the underlying is reviewed. ⺠Process for the underlying: long memory ARCH with leverage and fat-tail innovations. ⺠In discrete time, construction of the equivalent martingale measures and option prices. ⺠Separation of the implied volatility surface into a static mean shape and a dynamical backbone. ⺠Implied volatility surfaces for many processes, with the cost and risk of replication.
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Authors
Gilles Zumbach,