Cover Image
QR Code

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...

Full description

Published in:Journal of Financial Econometrics Vol. 24; no. 2; pp. 1 - 25
Main Authors: Feistle, Simon, Fengler, Matthias R, Melnikov, Alexander
Format: Article
Published: Oxford University Press / USA 2026
Subjects:
Discrete-time systems
Stochastic processes
Distribution (Probability theory)
Maximum likelihood statistics
Market volatility
Price fluctuations
Gaussian distribution
Online Access:View this record in EBSCOhost