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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Härdle, Wolfgang | en |
dc.contributor.author | Hafner, Christian M. | en |
dc.date.accessioned | 2012-11-09 | - |
dc.date.accessioned | 2012-11-19T15:23:57Z | - |
dc.date.available | 2012-11-19T15:23:57Z | - |
dc.date.issued | 1997 | - |
dc.identifier.pi | urn:nbn:de:kobv:11-10064384 | en |
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 |
dc.language.iso | eng | en |
dc.publisher | |aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlin | en |
dc.relation.ispartofseries | |aSFB 373 Discussion Paper |x1997,56 | en |
dc.subject.ddc | 330 | en |
dc.title | Discrete time option pricing with flexible volatility estimation | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 729519600 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:sfb373:199756 | en |
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