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Discussion Papers, SFB 373, HU Berlin >
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http://hdl.handle.net/10419/66310
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| Title: | | Discrete time option pricing with flexible volatility estimation  |
| Authors: | | Härdle, Wolfgang Hafner, Christian M. |
| Issue Date: | | 1997 |
| Series/Report no.: | | Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1997,56 |
| 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. |
| Persistent Identifier of the first edition: | | urn:nbn:de:kobv:11-10064384 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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