| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w4519 |
| 来源ID | Working Paper 4519 |
| Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts | |
| Robert F. Engle; Alex Kane; Jaesun Noh | |
| 发表日期 | 1993-11-01 |
| 出版年 | 1993 |
| 语种 | 英语 |
| 摘要 | In pricing primary-market options and in making secondary markets, financial intermediaries depend on the quality of forecasts of the variance of the underlying assets. Hence, the gain from improved pricing of options would be a measure of the value of a forecast of underlying asset returns. NYSE index returns over the period of 1968-1991 are used to suggest that pricing index options of up to 90-days maturity would be more accurate when: (1) using ARCH specifications in place of a moving average of squared returns; (2) using Hull and White's (1987) adjustment for stochastic variance in Black and Scholes's (1973) formula; (3) accounting explicitly for weekends and the slowdown of variance whenever the market is closed. |
| URL | https://www.nber.org/papers/w4519 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561899 |
| 推荐引用方式 GB/T 7714 | Robert F. Engle,Alex Kane,Jaesun Noh. Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts. 1993. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w4519.pdf（278KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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