Index Option Pricing With Stochastic Volatility And The Value Of Accurate Variance Forecasts
Download and Read Index Option Pricing With Stochastic Volatility And The Value Of Accurate Variance Forecasts full books in PDF, ePUB, and Kindle. Read online free Index Option Pricing With Stochastic Volatility And The Value Of Accurate Variance Forecasts ebook anywhere anytime directly on your device. We cannot guarantee that every ebooks is available!
Index-option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts
Author | : Robert F. Engle |
Publisher | : |
Total Pages | : 48 |
Release | : 1993 |
Genre | : Stock options |
ISBN | : |
Download Index-option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts Book in PDF, Epub and Kindle
In pricing primary-market options and in making secondary markets, financial intermediaries depend on the quality of forecasts of the variance of the underlying assets. Hence, the gain from improved pricing of options would be a measure of the value of a forecast of underlying asset returns. NYSE index returns over the period of 1968-1991 are used to suggest that pricing index options of up to 90-days maturity would be more accurate when: (1) using ARCH specifications in place of a moving average of squared returns; (2) using Hull and White's (1987) adjustment for stochastic variance in Black and Scholes's (1973) formula; (3) accounting explicitly for weekends and the slowdown of variance whenever the market is closed.
Index-option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts Related Books
Pages: 48
Pages: 31
Pages:
Pages: 220
Pages: 48