Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/71238
Authors: 
Lee, Gabriel S.
Boss, Michael
Klisz, Chris
Year of Publication: 
2001
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 91
Abstract: 
This paper analyses Czech and Hungarian index options that are traded on the Austrian Futures and Options Exchange. We find that the Poisson jump-diffusion and not the GARCH (1,1) process lends statistical support for the data description. We estimate that approximately four-fifth of 4 percent underpricing (for the Czech Index) and 18 percent overpricing (for the Hungarian Index) biases reported for the short term out-of-the-money call options can be explained by the Jump option pricing model. However, we question whether the mispricings from the jump model are operational, especially, in these emerging financial markets.
Subjects: 
Leptokurtosis
poisson jump-diffusion
GARCH
equity index options
JEL: 
C52
G13
C51
C52
Document Type: 
Working Paper

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