Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/66310 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorHärdle, Wolfgangen
dc.contributor.authorHafner, Christian M.en
dc.date.accessioned2012-11-09-
dc.date.accessioned2012-11-19T15:23:57Z-
dc.date.available2012-11-19T15:23:57Z-
dc.date.issued1997-
dc.identifier.piurn:nbn:de:kobv:11-10064384en
dc.identifier.urihttp://hdl.handle.net/10419/66310-
dc.description.abstractBy 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.isoengen
dc.publisher|aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlinen
dc.relation.ispartofseries|aSFB 373 Discussion Paper |x1997,56en
dc.subject.ddc330en
dc.titleDiscrete time option pricing with flexible volatility estimation-
dc.typeWorking Paperen
dc.identifier.ppn729519600en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb373:199756en

Datei(en):
Datei
Größe
274.83 kB





Publikationen in EconStor sind urheberrechtlich geschützt.