Risk neutral measures and GARCH model calibration

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atmire.migration.oldid347
dc.contributor.advisorBadescu, Alexandru
dc.contributor.authorLI, SHENG
dc.date.accessioned2012-09-24T21:58:13Z
dc.date.available2012-11-13T08:01:39Z
dc.date.issued2012-09-24
dc.date.submitted2012en
dc.description.abstractEmpirical studies have shown that GARCH models can be successfully used to describe option prices. Pricing such option contracts requires the risk neutral return dynamics of underlying asset. Since under the GARCH framework the market is incomplete, there is more than one risk neutral measure. In this thesis, we study the locally risk neutral valuation relationship, the mean correcting martingale measure, the conditional Esscher transform and the second order Esscher transform as martingale measure candidates. All these methods lead to the respective risk neutral return dynamics. We empirically examine in-sample and out-ofsample performance of Gaussian-TGARCH and Normal inverse Gaussian (NIG)-TGARCH models under these risk neutral measures.en_US
dc.identifier.citationLI, SHENG. (2012). Risk neutral measures and GARCH model calibration (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/27669en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/27669
dc.identifier.urihttp://hdl.handle.net/11023/221
dc.language.isoeng
dc.publisher.facultyGraduate Studies
dc.publisher.institutionUniversity of Calgaryen
dc.publisher.placeCalgaryen
dc.rightsUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.
dc.subjectMathematics
dc.subjectMathematics
dc.titleRisk neutral measures and GARCH model calibration
dc.typemaster thesis
thesis.degree.disciplineMathematics and Statistics
thesis.degree.grantorUniversity of Calgary
thesis.degree.nameMaster of Science (MSc)
ucalgary.item.requestcopytrue
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