Freo, Marzia
(2003)
Estimating a stochastic volatility model for DAX-Index options.
Bologna, IT:
Dipartimento di Scienze Statistiche "Paolo Fortunati", Alma Mater Studiorum Università di Bologna,
p. 17.
DOI
10.6092/unibo/amsacta/2285.
In: Quaderni di Dipartimento. Serie Ricerche
ISSN 1973-9346.
Full text available as:
Abstract
The paper examines alternative strategies for pricing and hedging options on German DAX-index. To this purpose an affine stochastic volatility model is estimated directly on objective probability system through a three step approach. Errors obtained by the implementation of the stochastic volatility model and Black and Scholes with different historical and implied volatility measures are compared and the performance is evaluated in terms of out-of-sample pricing and hedging. The results for DAX-index options market support the estimation on the affine stochastic volatility model in pricing as well as in hedging procedures.
Abstract
The paper examines alternative strategies for pricing and hedging options on German DAX-index. To this purpose an affine stochastic volatility model is estimated directly on objective probability system through a three step approach. Errors obtained by the implementation of the stochastic volatility model and Black and Scholes with different historical and implied volatility measures are compared and the performance is evaluated in terms of out-of-sample pricing and hedging. The results for DAX-index options market support the estimation on the affine stochastic volatility model in pricing as well as in hedging procedures.
Document type
Monograph
(Working Paper)
Creators
Subjects
ISSN
1973-9346
DOI
Deposit date
08 Jan 2007
Last modified
16 May 2011 12:04
URI
Other metadata
Document type
Monograph
(Working Paper)
Creators
Subjects
ISSN
1973-9346
DOI
Deposit date
08 Jan 2007
Last modified
16 May 2011 12:04
URI
This work may be freely consulted and used, may be reproduced on a permanent basis in a digital format (i.e. saving) and can be printed on paper with own personal equipment (without availing of third -parties services), for strictly and exclusively personal, research or teaching purposes, with express exclusion of any direct or indirect commercial use, unless otherwise expressly agreed between the user and the author or the right holder. It is also allowed, for the same purposes mentioned above, the retransmission via telecommunication network, the distribution or sending in any form of the work, including the personal redirection (e-mail), provided it is always clearly indicated the complete link to the page of the Alma DL Site in which the work is displayed. All other rights are reserved.
Downloads
Downloads
Staff only:
