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Discrete time option pricing with flexible volatility estimation

Härdle, Wolfgang; Hafner, Christian M. - 1997

By extending the GARCH option pricing model of Duan (1995) to more flexible volatility estimation it is shown that the … prices of out-of-the-money options strongly depend on volatility features such as asymmetry. Results are provided for the …

Persistent link: https://www.econbiz.de/10009659059

Adaptive estimation for a time inhomogeneous stochastic-volatility model

Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000

is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an …

Persistent link: https://www.econbiz.de/10009582392

Dynamic nonparametric state price density estimation using constrained least squares and the bootstrap

Härdle, Wolfgang; Yatchew, Adonis John - 2001

The economic theory of option pricing imposes constraints on the structure of call functions and state price densities (SPDs). Except in a few polar cases, it does not prescribe functional forms. This paper proposes a nonparametric estimator of option pricing models which incorporates various...

Persistent link: https://www.econbiz.de/10009620779

Flexible stochastic volatility structures for high frequency financial data

Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric …

Persistent link: https://www.econbiz.de/10009578026

Time inhomogeneous multiple volatility modelling

Härdle, Wolfgang; Herwartz, Helmut; Spokojnyj, Vladimir G. - 2001

assets, stock market indices, exchange rates etc. A particular problem in investigating multivariate volatility processes … arises from the high dimensionality implied by a simultaneous analysis of variances and covariances. Parametric volatility … to a parametric approach, namely the multivariate GARCH model. -- stochastic volatility model ; adaptive estimation …

Persistent link: https://www.econbiz.de/10009612567

Semiparametric diffusion estimation and application to a stock market index

Härdle, Wolfgang; Kleinow, Torsten; Korostelev, … - 2001

The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on...

Persistent link: https://www.econbiz.de/10009613611

Estimation and testing for varying coefficients in additive models with marginal integration

Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002

We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence as univariate function estimation. For the...

Persistent link: https://www.econbiz.de/10009627286