We generate option prices in the Black-Scholes economy and add the noise process
representing transactions cost on it. Then, we estimate the Heston’s stochastic
volatility model using the generated data. Results show that the stochastic
volatility model falsely looks like the right model under the Black-Scholes economy
with transaction cost. However, transaction costs alone doesn’t seem to explain
the observed phenomena of volatility smile.
학회소식
공지사항
[2003년 제 2차] Estimating Option Pricing Models with Transaction C
작성자 : 관리자
조회수 : 759
게시일 :
2003-07-12