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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
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Härdle, Wolfgang | | en_US |
| dc.contributor.author | | Hafner, Christian M. | | en_US |
| dc.date.accessioned | | 2012-11-09 | | en_US |
| dc.date.accessioned | | 2012-11-19T15:23:57Z | | - |
| dc.date.available | | 2012-11-19T15:23:57Z | | - |
| dc.date.issued | | 1997 | | en_US |
| dc.identifier.pi | | urn:nbn:de:kobv:11-10064384 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/66310 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Humboldt-Universität Berlin | | en_US |
| dc.relation.ispartofseries | | Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1997,56 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.title | | Discrete time option pricing with flexible volatility estimation | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 729519600 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| dc.identifier.repec | | RePEc:zbw:sfb373:199756 | | - |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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