英文标题：
《Risk-neutral option pricing under GARCH intensity model》
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作者：
Kyungsub Lee
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最新提交年份：
2019
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英文摘要：
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.
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中文摘要：
研究了GARCH强度模型下的风险中性期权定价方法。GARCH强度模型综合了金融收益序列的特征，如波动率聚类、杠杆效应和条件不对称。GARCH强度期权定价模型具有根据概率测度变化改变波动率的灵活性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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