@techreport{Hardle1997Discrete,
abstract = {By extending the GARCH option pricing model of Duan (1995) to more flexible volatility estimation it is shown that the prices of out-of-the-money options strongly depend on volatility features such as asymmetry. Results are provided for the properties of the stationary pricing distribution in the case of a threshold GARCH model. For a stock index series with a pronounced leverage effect, simulated threshold GARCH option prices are substantially closer to observed market prices than the Black/Scholes and simulated GARCH prices.},
address = {Berlin},
author = {Wolfgang H\"{a}rdle and Christian M. Hafner},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {330},
language = {eng},
note = {urn:nbn:de:kobv:11-10064384},
number = {1997,56},
publisher = {Humboldt-Universit\"{a}t},
title = {Discrete time option pricing with flexible volatility estimation},
type = {Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes},
url = {http://hdl.handle.net/10419/66310},
year = {1997}
}
