Pricing of options under different volatility models

Full metadata record

DC Field	Value	Language
dc.contributor.author	Herzberg, Markus	de
dc.contributor.author	Sibbertsen, Philipp	de
dc.date.accessioned	2004-12-29T10:59:56Z	-
dc.date.available	2004-12-29T10:59:56Z	-
dc.date.issued	2004	de
dc.identifier.uri	http://hdl.handle.net/2003/19654	-
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-15674	-
dc.description.abstract	In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which includes stochastic volatility. We find that long memory as well as asymmetry affect the Black-Scholes price significantly whereas the Hull-White price is hardly affected by long memory but still by including asymmetries.	en
dc.language.iso	en	de
dc.publisher	Universität Dortmund	de
dc.subject	option pricing	en
dc.subject	GARCH	en
dc.subject	long memory	en
dc.subject	leverage effect	en
dc.subject.ddc	000	de
dc.title	Pricing of options under different volatility models	en
dc.type	Text	de
dc.type.publicationtype	report	en
dcterms.accessRights	open access	-
Appears in Collections:	Sonderforschungsbereich (SFB) 475

Files in This Item:

File	Description	Size	Format
tr62-04.pdf	DNB	125 kB	Adobe PDF	View/Open

This item is protected by original copyright

Show simple item record

This item is protected by original copyright rightsstatements.org