Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/61730 
Erscheinungsjahr: 
1999
Schriftenreihe/Nr.: 
SFB 373 Discussion Paper No. 1999,58
Verlag: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Zusammenfassung: 
Daily returns of financial assets are frequently found to exhibit positive autocorrelation at lag 1. When specifying a linear AR(l) conditional mean, one may ask how this predictability affects option prices. We investigate the dependence of option prices on autoregressive dynamics under stylized facts of stock returns, i.e., conditional heteroskedasticity: leverage effect, and conditional leptokurtosis. Our analysis covers both a continuous and discrete time framework. The results suggest that a non-zero autoregression coefficient tends to increase the deviation of option prices from Black & Scholes prices caused by stochastic volatility.
Schlagwörter: 
option pricing
autoregression
heteroskedasticity
GARCH
leverage effect
conditional leptokurtosis
JEL: 
C15
C22
G13
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
279 kB





Publikationen in EconStor sind urheberrechtlich geschützt.