# Risk-neutral option pricing under GARCH intensity model

## TL;DR

This paper explores a risk-neutral option pricing approach using a GARCH intensity model that captures key features of financial returns like volatility clustering and leverage effects, offering flexible volatility adjustments.

## Contribution

It introduces a novel GARCH intensity model for option pricing that accounts for complex return dynamics and adapts volatility under different probability measures.

## Key findings

- Model captures volatility clustering and leverage effects.
- Flexible volatility adjustment under measure change.
- Enhances accuracy of option pricing models.

## Abstract

The risk-neutral option pricing method under GARCH intensity model is examined. The GARCH intensity model incorporates the characteristics of financial return series such as volatility clustering, leverage effect and conditional asymmetry. The GARCH intensity option pricing model has flexibility in changing the volatility according to the probability measure change.