search query: @author Herwartz, H. / total: 5
reference: 3 / 5
| Author: | Hafner, C. M. Herwartz, H. |
| Title: | Optin pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis |
| Journal: | Journal of Empirical Finance
2001 : MAR, VOL. 8:1, p. 1-34 |
| Index terms: | Option prices Option valuation Regression analysis |
| Freeterms: | Autoregression Conditional heteroskedasticity Leverage affect Conditional leptokurtosis |
| Language: | eng |
| Abstract: | The authors investigate the dependence of option prices on autoregressive dynamics under stylized facts of stock returns, i.e. conditional heteroskedasticity, leverage effect, and conditional leptokurtosis. The analysis covers both a continuous and discrete time framework. The results suggest that a non-zero autoregression coefficient tends to increase the deviation of option prices from Black and Scholes prices caused by stochastic volatility. |
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