Stabsseminar med Stephen Taylor

Institutt for foretaksøkonomi har stabsseminar onsdag 5. desember med Stephen Taylor fra University of Lancaster.

04.12.2001 - Torunn G. Saunes

Tema: "Consequences for Option Pricing of a Long Memory in Volatility."
Tid: Onsdag 5. desember, kl. 12.15-13.30
Sted: Karl Borchs Aud.

Abstract:
The economic consequences of a long memory assumption about volatility are documented, by comparing implied volatilities for option prices obtained from short and long memory volatility processes. Numerical results are given for options on the S & P 100 index from 1984 to 1998, with lives up to two years. The long memory assumption is found to have a significant impact upon the term structure of implied volatilities and a relatively minor impact upon smile effects. These conclusions are important because evidence for long memory in volatility has been found in the prices of many assets.

Kontaktpersoner: Thore Johnsen (59291) og Hans K. Hvide (59283)