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UPA Perpustakaan Universitas Jember

GARCH option pricing models with Meixner innovations

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The paper presents GARCH option pricing models with Meixner-distributed innovations. The risk-neutral dynamics are derived by means of the conditional Esscher transform. Assessing the option pricing performance both in-sample and out-of- sample, we find that the models compare favorably against the benchmark models. Simulations suggest that the driver of these results is the impact of conditional skew-ness and conditional excess kurtosis on option prices.

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