Normal Inverse Gaussian GARCH 模型與選擇權定價

Abstract

這篇論文用NIG GARCH 的模型去描述財務市埸資產的log return。在這樣的模型假設下，我們可以經由Esscher transform的方法來做資產的定價，而這種方法定出來的價格可以用動態效用函數的架構來說明其合理性。

This article uses the NIG GARCH model, the GARCH model with Normal inverse Gaussian innovation, to model the financial asset return. Under this model, we can pricing derivatives via Conditional Esscher transform. The pricing result can be justified by dynamic power utility framework.