This paper introduces a class of conditional GARCH models that offers significantly added
flexibility to accommodate empirically relevant features of financial asset returns while …

Two different pricing frameworks are typically used in the literature when pricing options
under GARCH with non-normal innovations: the equilibrium approach and the no-arbitrage …

When it comes to individual stock option pricing, most applications consider a univariate
framework. From a theoretical point of view this is unsatisfactory as we know that the …

This dissertation contains three essays on observable covariates in option pricing. In the first
essay, I propose firm-specific public news arrival from Factiva database as an observable …