The paper presents GARCH option pricing models with Meixner-distributed innovations. The risk-neutral dynamics are derived by means of the conditional Esscher transform. Assessing the option pricing performance both in-sample and out-of-sample, we find that the models compare favorably against the benchmark models. Simulations suggest that the driver of these results is the impact of conditional skewness and conditional excess kurtosis on option prices.

中文翻译：

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Meixner创新的GARCH期权定价模型

本文介绍了具有Meixner分布式创新的GARCH期权定价模型。风险中性动力学是通过条件Esscher变换得出的。评估样本内和样本外期权定价的绩效，我们发现模型与基准模型相比具有优势。模拟表明，这些结果的驱动因素是有条件偏斜和有条件超峰度对期权价格的影响。