Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/23401 
Erscheinungsjahr: 
2004
Schriftenreihe/Nr.: 
Working Paper Series: Finance & Accounting No. 136
Verlag: 
Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften, Frankfurt a. M.
Zusammenfassung: 
Tests for the existence and the sign of the volatility risk premium are often based on expected option hedging errors. When the hedge is performed under the ideal conditions of continuous trading and correct model specification, the sign of the premium is the same as the sign of the mean hedging error for a large class of stochastic volatility option pricing models. We show, however, that the problems of discrete trading and model mis-specification, which are necessarily present in any empirical study, may cause the standard test to yield unreliable results.
Schlagwörter: 
Stochastic Volatility
Volatility Risk Premium
Discretization Error
Model Error
JEL: 
G12
G13
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
224.25 kB





Publikationen in EconStor sind urheberrechtlich geschützt.