EconStor >
Humboldt-Universität Berlin >
Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/66310
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorHärdle, Wolfgangen_US
dc.contributor.authorHafner, Christian M.en_US
dc.date.accessioned2012-11-09en_US
dc.date.accessioned2012-11-19T15:23:57Z-
dc.date.available2012-11-19T15:23:57Z-
dc.date.issued1997en_US
dc.identifier.piurn:nbn:de:kobv:11-10064384en_US
dc.identifier.urihttp://hdl.handle.net/10419/66310-
dc.description.abstractBy 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.en_US
dc.language.isoengen_US
dc.publisherHumboldt-Universität Berlinen_US
dc.relation.ispartofseriesDiscussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1997,56en_US
dc.subject.ddc330en_US
dc.titleDiscrete time option pricing with flexible volatility estimationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn729519600en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:sfb373:199756-
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

Files in This Item:
File Description SizeFormat
729519600.pdf274.83 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.