Hofmann, Maurice; Rottmann, Horst - 2016
of the put option, special attention is devoted to the estimation of the volatility for the underlying stock. We analyze … observed daily yields for four different timeframes to estimate the resulting volatility of the stock for Allianz SE using … estimation through a simple moving average, an exponentially weighted average, a GARCH-, and a T-GARCH-Model. We find that the …