Hafner, Christian M.; HÄrdle, Wolfgang - In: Finance and Stochastics 4 (2000) 2, pp. 189-207
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 properties of the stationary pricing distribution in...