Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22575
Authors: 
Herzberg, Markus
Sibbertsen, Philipp
Year of Publication: 
2004
Series/Report no.: 
Technical Report / Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2004,62
Abstract: 
In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which includes stochastic volatility. We find that long memory as well as asymmetry affect the Black-Scholes price significantly whereas the Hull-White price is hardly affected by long memory but still by including asymmetries.
Subjects: 
Option Pricing
GARCH
Long Memory
Leverage Effect
JEL: 
C22
C52
Document Type: 
Working Paper

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