haku: @indexterm OPTION VALUATION / yhteensä: 37
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| Tekijä: | Christoffersen, P. (et al.) |
| Otsikko: | Option valuation with long-run and short-run volatility components |
| Lehti: | Journal of Financial Economics
2008 : DEC, VOL 90:3, p. 273-297 |
| Asiasana: | volatility option valuation |
| Kieli: | eng |
| Tiivistelmä: | The article introduces a new model for valuating European options, where the volatility of returns consists of two components: a long-run and a short-run component. The new model enables easy valuation and is proved to be better suitable for European options than the traditional single-component volatility model or a model that combines heteroskedasticity and Poisson-normal jumps. This is because of its ability to model smirk and the path of spot volatility. However its most significant contribution is that it is able to model the volatility term structure, which allows its use in modeling both long- and short-maturity options jointly. |
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