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A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
Lord, Roger; Koekkoek, Remmert; Dijk, Dick van - Tinbergen Instituut - 2006
introduce the new full truncation scheme, tailored to minimise the upward bias found when pricing European options. Thirdly and …
Persistent link: https://www.econbiz.de/10011255776
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Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong
Peeters, Bas; Dert, Cees L.; Lucas, André - Tinbergen Instituut - 2003
-Scholes-Merton framework large portfolios of options can be hedged without risk in discrete time. The nature of the hedge portfolio in the … values of the options in our framework are driven by systematic and idiosyncratic risk factors. Instead of linearly (delta …
Persistent link: https://www.econbiz.de/10011257082
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Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility
Hol, Eugenie; Koopman, Siem Jan - Tinbergen Instituut - 2000
In this paper we compare the predictive abilility of Stochastic Volatility (SV)models to that of volatility forecasts implied by option prices. We develop anSV model with implied volatility as an exogeneous var able in the varianceequation which facilitates the use of statistical tests for...
Persistent link: https://www.econbiz.de/10011255461