| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3024 |
| DP3024 Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates? | |
| Mark Taylor; Lutz Kilian | |
| 发表日期 | 2001-10-23 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | This Paper shows that many of the empirical biases of the Black and Scholes option pricing model can be explained by Bayesian learning effects. In the context of an equilibrium model where dividend news evolves on a binomial lattice with unknown but recursively updated probabilities, we derive closed-form pricing formulas for European options. Learning is found to generate asymmetric skews in the implied volatility surface and systematic patterns in the term structure of option prices. Data on S&P 500 index option prices is used to back out the parameters of the underlying learning process and to predict the evolution in the cross-section of option prices. The proposed model leads to lower out-of-sample forecast errors and smaller hedging errors than a variety of alternative option pricing models, including Black-Scholes and a GARCH model. |
| 主题 | Financial Economics |
| 关键词 | Option prices Black-scholes option pricing model Bayesian learning |
| URL | https://cepr.org/publications/dp3024 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532048 |
| 推荐引用方式 GB/T 7714 | Mark Taylor,Lutz Kilian. DP3024 Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?. 2001. |
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