{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,1]],"date-time":"2025-10-01T15:37:34Z","timestamp":1759333054458},"reference-count":28,"publisher":"Springer Science and Business Media LLC","issue":"3","license":[{"start":{"date-parts":[[2008,9,2]],"date-time":"2008-09-02T00:00:00Z","timestamp":1220313600000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Math Meth Oper Res"],"published-print":{"date-parts":[[2009,7]]},"DOI":"10.1007\/s00186-008-0245-6","type":"journal-article","created":{"date-parts":[[2008,9,1]],"date-time":"2008-09-01T07:50:12Z","timestamp":1220255412000},"page":"411-438","source":"Crossref","is-referenced-by-count":26,"title":["Smoothly truncated stable distributions, GARCH-models, and option pricing"],"prefix":"10.1007","volume":"69","author":[{"given":"Christian","family":"Menn","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Svetlozar T.","family":"Rachev","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2008,9,2]]},"reference":[{"key":"245_CR1","doi-asserted-by":"crossref","first-page":"2003","DOI":"10.1111\/j.1540-6261.1997.tb02749.x","volume":"52","author":"G Bakshi","year":"1997","unstructured":"Bakshi G, Cao C, Chen Z (1997) Empirical performance of alternative option pricing models. J Financ 52: 2003\u20132049","journal-title":"J Financ"},{"key":"245_CR2","unstructured":"Barone-Adesi G, Engle RF, Mancini L (2004) GARCH options in incomplete markets, NCCR-FinRisk Paper, University of Z\u00fcrich, Paper No. 155"},{"key":"245_CR3","first-page":"567","volume-title":"North-Holland Handbooks of Statistics, vol 9","author":"D Bates","year":"1996","unstructured":"Bates D (1996) Testing option pricing models. In: Maddala GS, Rao CR (eds) North-Holland Handbooks of Statistics, vol 9. Elsevier, Amsterdam, New York, pp 567\u2013611"},{"key":"245_CR4","unstructured":"Black F (1976) Studies of stock price volatility changes. In: Proceedings of the 1976 meetings of the American statistical association, business and economic statistics section, pp 177\u2013181"},{"key":"245_CR5","doi-asserted-by":"crossref","first-page":"115","DOI":"10.1016\/0304-4076(92)90067-2","volume":"52","author":"P Bougerol","year":"1992","unstructured":"Bougerol P, Picard N (1992) Stationarity of GARCH processes and of some nonnegative time series. J Econom 52: 115\u2013127","journal-title":"J Econom"},{"key":"245_CR6","doi-asserted-by":"crossref","first-page":"53","DOI":"10.1111\/j.1540-6261.1979.tb02070.x","volume":"34","author":"MJ Brennan","year":"1979","unstructured":"Brennan MJ (1979) The pricing of contingent claims in discrete time models. J Financ 34: 53\u201368","journal-title":"J Financ"},{"key":"245_CR7","doi-asserted-by":"crossref","first-page":"407","DOI":"10.1016\/S0304-405X(00)00046-5","volume":"56","author":"M Chernov","year":"2000","unstructured":"Chernov M, Ghysels E (2000) A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of option valuation. J Financ Econ 56: 407\u2013458","journal-title":"J Financ Econ"},{"key":"245_CR8","doi-asserted-by":"crossref","first-page":"407","DOI":"10.1016\/0304-405X(82)90018-6","volume":"10","author":"AA Christie","year":"1982","unstructured":"Christie AA (1982) The stochastic behaviour of common stock variances: value, leverage and interest rate effects. J Financ Econ 10: 407\u2013432","journal-title":"J Financ Econ"},{"key":"245_CR9","doi-asserted-by":"crossref","unstructured":"Christofferson P, Heston SL, Jacobs K (2004) Option valuation with conditional skewness, working paper, EFA 2004 Maastricht Meetings Paper No. 2964, J Econom (forthcoming)","DOI":"10.2139\/ssrn.557079"},{"key":"245_CR10","doi-asserted-by":"crossref","first-page":"291","DOI":"10.1016\/j.jfineco.2003.02.001","volume":"72","author":"P Christofferson","year":"2004","unstructured":"Christofferson P, Jacobs K (2004a) The importance of the loss function in option valuation. J Financ Econ 72: 291\u2013318","journal-title":"J Financ Econ"},{"key":"245_CR11","doi-asserted-by":"crossref","first-page":"1204","DOI":"10.1287\/mnsc.1040.0276","volume":"50","author":"P Christofferson","year":"2004","unstructured":"Christofferson P, Jacobs K (2004b) Which GARCH model for option valuation. Manage Sci 50: 1204\u20131221","journal-title":"Manage Sci"},{"key":"245_CR12","doi-asserted-by":"crossref","first-page":"13","DOI":"10.1111\/j.1467-9965.1995.tb00099.x","volume":"5","author":"J-C Duan","year":"1995","unstructured":"Duan J-C (1995) The GARCH option pricing model. Math Financ 5: 13\u201332","journal-title":"Math Financ"},{"key":"245_CR13","doi-asserted-by":"crossref","first-page":"97","DOI":"10.1016\/S0304-4076(97)00009-2","volume":"79","author":"J-C Duan","year":"1997","unstructured":"Duan J-C (1997) Augmented GARCH(p, q) processes and its diffusion limit. J Econom 79: 97\u2013127","journal-title":"J Econom"},{"key":"245_CR14","doi-asserted-by":"crossref","first-page":"1122","DOI":"10.1287\/mnsc.47.8.1122.10234","volume":"47","author":"J-C Duan","year":"2001","unstructured":"Duan J-C, Gauthier G, Simonato J-G (2001) Asymptotic distribution of the EMS option price estimator. Manage Sci 47: 1122\u20131132","journal-title":"Manage Sci"},{"key":"245_CR15","doi-asserted-by":"crossref","unstructured":"Duan J-C, Ritchken P, Sun Z (2004) Jump starting GARCH: pricing and hedging options with jumps in returns and volatilities, working paper, University of Toronto and Case Western Reserve University","DOI":"10.2139\/ssrn.479483"},{"key":"245_CR16","doi-asserted-by":"crossref","first-page":"1218","DOI":"10.1287\/mnsc.44.9.1218","volume":"44","author":"J-C Duan","year":"1998","unstructured":"Duan J-C, Simonato J-G (1998) Empirical martingale simulation for asset prices. Manage Sci 44: 1218\u20131233","journal-title":"Manage Sci"},{"key":"245_CR17","doi-asserted-by":"crossref","first-page":"51","DOI":"10.3905\/jod.1999.319110","volume":"7","author":"J-C Duan","year":"1999","unstructured":"Duan J-C, Wei J (1999) Pricing foreign currency and cross-currency options under GARCH. J Deriv 7: 51\u201363","journal-title":"J Deriv"},{"key":"245_CR18","doi-asserted-by":"crossref","first-page":"2059","DOI":"10.1111\/0022-1082.00083","volume":"53","author":"B Dumas","year":"1998","unstructured":"Dumas B, Fleming J, Whaley RE (1998) Implied volatility functions: empirical tests. J Financ 53: 2059\u20132106","journal-title":"J Financ"},{"key":"245_CR19","doi-asserted-by":"crossref","first-page":"1749","DOI":"10.1111\/j.1540-6261.1993.tb05127.x","volume":"48","author":"RF Engle","year":"1993","unstructured":"Engle RF, Ng VK (1993) Measuring and testing the impact of news on volatility. J Financ 48: 1749\u20131778","journal-title":"J Financ"},{"key":"245_CR20","doi-asserted-by":"crossref","first-page":"585","DOI":"10.1093\/rfs\/13.3.585","volume":"13","author":"SL Heston","year":"2000","unstructured":"Heston SL, Nandi S (2000) A closed-form GARCH option valuation model. Rev Financ Stud 13: 585\u2013625","journal-title":"Rev Financ Stud"},{"key":"245_CR21","unstructured":"Menn C (2004) Optionspreistheorie: Ein \u00f6konometrischer Ansatz. Dr. Kova\u010d Verlag, Hamburg, Doctoral Thesis at the University of Karlsruhe, Germany"},{"key":"245_CR22","doi-asserted-by":"crossref","first-page":"201","DOI":"10.1016\/j.ejor.2004.01.009","volume":"163","author":"C Menn","year":"2005","unstructured":"Menn C, Rachev ST (2005) A GARCH option pricing model with \u03b1-stable innovations. Eur J Oper Res 163: 201\u2013209","journal-title":"Eur J Oper Res"},{"key":"245_CR23","doi-asserted-by":"crossref","first-page":"141","DOI":"10.2307\/3003143","volume":"4","author":"RC Merton","year":"1973","unstructured":"Merton RC (1973) The theory of rational option pricing. Bell J Econ Manage Sci 4: 141\u2013183","journal-title":"Bell J Econ Manage Sci"},{"key":"245_CR24","doi-asserted-by":"crossref","first-page":"318","DOI":"10.1017\/S0266466600005296","volume":"6","author":"DB Nelson","year":"1990","unstructured":"Nelson DB (1990) Stationarity and persistence in the GARCH(1,1) model. Econom Theory 6: 318\u2013334","journal-title":"Econom Theory"},{"key":"245_CR25","unstructured":"Ritchken P, Hsieh KC (2000) An empirical comparison of GARCH option pricing models, Technical Memorandum 734, Case Western Reserve University"},{"key":"245_CR26","doi-asserted-by":"crossref","first-page":"407","DOI":"10.2307\/3003264","volume":"7","author":"M Rubinstein","year":"1976","unstructured":"Rubinstein M (1976) The valuation of uncertain income streams and the pricing of options. Bell J Econ Manage Sci 7: 407\u2013425","journal-title":"Bell J Econ Manage Sci"},{"key":"245_CR27","volume-title":"Stable non-Gaussian random processes","author":"G Samorodnitsky","year":"1994","unstructured":"Samorodnitsky G, Taqqu MS (1994) Stable non-Gaussian random processes. Chapmann & Hall\/CRC, Boca Raton"},{"key":"245_CR28","doi-asserted-by":"crossref","unstructured":"Zolotarev VM (1986) One-dimensional stable distributions. American Mathematical Society, Providence","DOI":"10.1090\/mmono\/065"}],"container-title":["Mathematical Methods of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00186-008-0245-6.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s00186-008-0245-6\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00186-008-0245-6","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,23]],"date-time":"2019-05-23T14:33:27Z","timestamp":1558622007000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s00186-008-0245-6"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2008,9,2]]},"references-count":28,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2009,7]]}},"alternative-id":["245"],"URL":"https:\/\/doi.org\/10.1007\/s00186-008-0245-6","relation":{},"ISSN":["1432-2994","1432-5217"],"issn-type":[{"value":"1432-2994","type":"print"},{"value":"1432-5217","type":"electronic"}],"subject":[],"published":{"date-parts":[[2008,9,2]]}}}