Discrete time option pricing with flexible volatility estimation
نویسندگان
چکیده
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 threshold GARCH option prices are substantially closer to observed market prices than the Black/Scholes and simulated GARCH prices.
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ورودعنوان ژورنال:
- Finance and Stochastics
دوره 4 شماره
صفحات -
تاریخ انتشار 2000