Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables.

This paper assesses the empirical performance of an intertemporal option pricing model with latent variables which generalizes the Hull-White stochastic volatility formula. Using this generalized formula in an ad-hoc fashion to extract two implicit parameters and forecast next day S&P 500 option prices, we obtain smaller pricing errors than with implied volatility alone as in the Hull-White case.

MoreLess

Year of publication:	2000
Authors:	Garcia, R. ; Luger, R. ; Renault, E.
Subject:	PRICING \| ECONOMIC MODELS \| FORECASTS

More details

Type of publication:	Book / Working Paper
Notes:	40 pages
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005671542