| Authors |
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| Publication date |
2001
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| Book title |
Proceedings of the International Conference on Modelling and Forecasting Financial Volatility
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| Publisher |
Perth: The University of Western Australia
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| Organisations |
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Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
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| Abstract |
This paper analyzes sources of derivative pricing errors in a stochastic volatility model estimated on stock return data. It is shown that such pricing errors may reflect the existence of a market price of volatility risk, but also may be caused by estimation errors due to a slow mean reversion in the volatility process. These issues are investigated empirically using asset return and option price data on the Dutch AEX index.
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| Document type |
Conference contribution
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| Published at |
http://www1.fee.uva.nl/pp/bin/24fulltext.pdf
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