On Pricing Derivatives Under GARCH Models: A Dynamic Gerber-Shiu Approach

Article Properties
  • Language
    English
  • DOI (url)
    10.1080/10920277.2004.12254408
  • Publication Date
    2004/07/01
  • Journal
    North American Actuarial Journal
  • Indian UGC (journal)
  • Citations
    72
  • Tak Kuen Siu Liu Bie Ju Centre for Mathematical Sciences, City University of Hong Kong, Kowloono, Hong Kong
  • Howell Tong Department of Statistics and Actuarial Science, University of Hong Kong, Hong KongDepartment of Statistics, London School of Economics, London, United Kingdom
  • Hailiang Yang Department of Statistics and Actuarial Science, University of Hong Kong, Hong Kong
Cite
Siu, Tak Kuen, et al. “On Pricing Derivatives Under GARCH Models: A Dynamic Gerber-Shiu Approach”. North American Actuarial Journal, vol. 8, no. 3, 2004, pp. 17-31, https://doi.org/10.1080/10920277.2004.12254408.
Siu, T. K., Tong, H., & Yang, H. (2004). On Pricing Derivatives Under GARCH Models: A Dynamic Gerber-Shiu Approach. North American Actuarial Journal, 8(3), 17-31. https://doi.org/10.1080/10920277.2004.12254408
Siu, Tak Kuen, Howell Tong, and Hailiang Yang. “On Pricing Derivatives Under GARCH Models: A Dynamic Gerber-Shiu Approach”. North American Actuarial Journal 8, no. 3 (2004): 17-31. https://doi.org/10.1080/10920277.2004.12254408.
Siu TK, Tong H, Yang H. On Pricing Derivatives Under GARCH Models: A Dynamic Gerber-Shiu Approach. North American Actuarial Journal. 2004;8(3):17-31.
Journal Category
Social Sciences
Finance
Citations
Title Journal Journal Categories Citations Publication Date
Time series model for GLWB with surrender benefit and stochastic interest rate: Dynamic withdrawal approach

 Applied Stochastic Models in Business and Industry
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  • Science: Mathematics
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 1 2023
Non-linear volatility with normal inverse Gaussian innovations: ad-hoc analytic option pricing Review of Quantitative Finance and Accounting
  • Social Sciences: Finance
 2023
An assessment of model risk in pricing wind derivatives

 Annals of Actuarial Science
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  • Science: Mathematics: Probabilities. Mathematical statistics
  • Social Sciences: Statistics
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  • Science: Mathematics
 2023
Option pricing under stochastic volatility models with latent volatility Quantitative Finance
  • Social Sciences: Finance
  • Social Sciences: Economic theory. Demography: Economics as a science
  • Social Sciences: Statistics
  • Science: Mathematics
  • Social Sciences: Commerce: Business
  • Social Sciences: Economic theory. Demography: Economics as a science
 2023
On regime-switching European option pricing Cogent Economics & Finance
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  • Social Sciences: Economic theory. Demography: Economics as a science
 2023
Citations Analysis
Category Category Repetition
Social Sciences: Economic theory. Demography: Economics as a science44
Social Sciences: Commerce: Business39
Social Sciences: Finance38
Science: Mathematics24
Social Sciences: Statistics17
Science: Mathematics: Probabilities. Mathematical statistics14
Social Sciences: Commerce: Business: Accounting. Bookkeeping4
Technology: Manufactures: Production management. Operations management3
Technology: Engineering (General). Civil engineering (General)2
Technology: Technology (General): Industrial engineering. Management engineering1
Social Sciences: Economic theory. Demography1
Social Sciences: Commerce: Business: Personnel management. Employment management1
Social Sciences: Communities. Classes. Races: Urban groups. The city. Urban sociology: City planning1
Geography. Anthropology. Recreation: Environmental sciences1
Technology: Environmental technology. Sanitary engineering1
Science: Biology (General): Ecology1
Science: Science (General)1
Science: Mathematics: Instruments and machines: Electronic computers. Computer science1
Technology: Mechanical engineering and machinery1
Technology: Electrical engineering. Electronics. Nuclear engineering: Electronics1
The category Social Sciences: Economic theory. Demography: Economics as a science 44 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled On Bayesian Value at Risk: From Linear to Non-Linear Portfolios and was published in 2004. The most recent citation comes from a 2023 study titled An assessment of model risk in pricing wind derivatives. This article reached its peak citation in 2013, with 9 citations. It has been cited in 43 different journals, 6% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 8 citations. The chart below illustrates the annual citation trends for this article.
Citations used this article by year