haku: @author Prause, K. / yhteensä: 1
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| Tekijä: | Eberlein, E. Keller, U. Prause, K. |
| Otsikko: | New insights into smile, mispricing, and value at risk: the hyperbolic model |
| Lehti: | Journal of Business
1998 : JUL, VOL. 71:3, p. 371-406 |
| Asiasana: | PRICING VALUATION RISK |
| Kieli: | eng |
| Tiivistelmä: | The authors investigate a new basic model for asset pricing, the hyperbolic model, which allows an almost perfect statistical fit of stock return data. After a detailed introduction into the theory, the authors use secondary market data to compare the hyperbolic model to the classical Black-Scholes model. The authors study implicit volatilities, the smile effect, and pricing performance. Exploiting the full power of the hyperbolic model, they construct an option value process from a statistical point of view by estimating the implicit risk-neutral density function from option data. |
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