Pricing of options under different volatility models

dc.contributor.authorHerzberg, Markusde
dc.contributor.authorSibbertsen, Philippde
dc.date.accessioned2004-12-29T10:59:56Z
dc.date.available2004-12-29T10:59:56Z
dc.date.issued2004de
dc.description.abstractIn 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.urihttp://hdl.handle.net/2003/19654
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-15674
dc.language.isoende
dc.publisherUniversität Dortmundde
dc.subjectoption pricingen
dc.subjectGARCHen
dc.subjectlong memoryen
dc.subjectleverage effecten
dc.subject.ddc000de
dc.titlePricing of options under different volatility modelsen
dc.typeTextde
dc.type.publicationtypereporten
dcterms.accessRightsopen access

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