| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4948 |
| DP4948 Monetary Policy with Single Instrument Feedback Rules | |
| Isabel Correia; Pedro Teles; Bernardino Adão | |
| 发表日期 | 2005-03-23 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | In this paper, we investigate the importance of different loss functions when estimating and evaluating option pricing models. Our analysis shows that it is important to take into account parameter uncertainty, since this leads to uncertainty in the predicted option price. We illustrate the effect on the out-of-sample pricing errors in an application of the ad hoc Black-Scholes model to DAX index options. Our empirical results suggest that different loss functions lead to uncertainty about the pricing error itself. At the same time, it provides a first yardstick to evaluate the adequacy of the loss function. This is accomplished through a data-driven method to deliver not just a point estimate of the pricing error, but a confidence interval. |
| 主题 | Financial Economics |
| 关键词 | Option pricing Loss functions Estimation risk Garch Implied volatility |
| URL | https://cepr.org/publications/dp4948 |
| 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/533847 |
| 推荐引用方式 GB/T 7714 | Isabel Correia,Pedro Teles,Bernardino Adão. DP4948 Monetary Policy with Single Instrument Feedback Rules. 2005. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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