A Non-Gaussian, Structure-Preserving Stochastic Volatility and Option Pricing Model in Discrete Time.

We propose a novel stochastic volatility model based on the autoregressive gamma process that accommodates a structure-preserving change to the risk-neutral measure while relying on a non-Gaussian distribution for the return innovations. The model employs the Meixner (MXN) distribution, which enrich...

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Detalles Bibliográficos

Publicado en:	Journal of Financial Econometrics Vol. 24; no. 2; pp. 1 - 25
Autores principales:	Feistle, Simon, Fengler, Matthias R, Melnikov, Alexander
Formato:	Artículo
Publicado:	Oxford University Press / USA 2026
Materias:	Discrete-time systems Stochastic processes Distribution (Probability theory) Maximum likelihood statistics Market volatility Price fluctuations Gaussian distribution
Acceso en línea:	Ver este registro en EBSCOhost