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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
At the time of writing this article, Fourier inversion is the computational method of choice for a fast and accurate calculation of plain vanilla option prices in models with an analytically available characteristic function. Shifting the contour of integration along the complex plane allows for...
Persistent link: https://www.econbiz.de/10011256210
completely wrong option prices if options are priced by Fourier inversion. In this paper we prove under non …
Persistent link: https://www.econbiz.de/10011257149
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