- Tytuł:
- A Note on Option Pricing with the Use of Discrete-Time Stochastic Volatility Processes
- Autorzy:
- Pajor, Anna
- Powiązania:
- https://bibliotekanauki.pl/articles/483255.pdf
- Data publikacji:
- 2009
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
option pricing
SV model
Bayesian forecasting - Opis:
- In this paper we show that in the lognormal discrete-time stochastic volatility model with predictable conditional expected returns, the conditional expected value of the discounted payoff of a European call option is infinite. Our empirical illustration shows that the characteristics of the predictive distributions of the discounted payoffs, obtained using Monte Carlo methods, do not indicate directly that the expected discounted payoffs are infinite.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2009, 1, 1; 71-81
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł