Thumbnail
Access Restriction
Open

Author Schmitt, Christian
Source EconStor
Content type Text
Publisher Zentrum für Europäische Wirtschaftsforschung (ZEW)
File Format PDF
Language English
Subject Domain (in DDC) Social sciences ♦ Economics
Subject Keyword Optionspreistheorie ♦ Schätztheorie ♦ Theorie
Abstract Various empirical studies have shown that the time-varying volatility of asset returns can be described by GARCH (generalised autoregressive conditional heteroskedasticity) models. The corresponding GARCH option pricing model of Duan (1995) is capable of depicting the smile-effect which often can be found in option prices. In some derivative markets, however, the slope of the smile is not symmetrical. In this paper an option pricing model in the context of the EGARCH (Exponential GARCH) process will be developed. Extensive numerical analyses suggest that the EGARCH option pricing model is able to explain the different slopes of the smile curve.
Part of series ZEW Discussion Papers x96-20
Learning Resource Type Article
Publisher Date 1996-01-01
Publisher Institution ZBW – Leibniz Information Centre for Economics, Kiel, Hamburg
Publisher Place Mannheim
Rights Holder http://www.econstor.eu/dspace/Nutzungsbedingungen