Pricing of options under different volatility models

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.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.identifier.uri	http://hdl.handle.net/2003/19654
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-15674
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

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