Discrete time option pricing with flexible volatility estimation
نویسندگان
چکیده
منابع مشابه
Discrete time option pricing with flexible volatility estimation
By extending the GARCH option pricing model of Duan (1995) to more exible 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 eeect, simulated...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2000
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s007800050011