Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/66310
Authors: 
Härdle, Wolfgang
Hafner, Christian M.
Year of Publication: 
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: 
Document Type: 
Working Paper

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