PL EN


2009 | 1 | 1 | 71-81
Article title

A Note on Option Pricing with the Use of Discrete-Time Stochastic Volatility Processes

Authors
Content
Title variants
Languages of publication
EN
Abstracts
EN
In this paper we show that in the lognormal discrete-time stochastic volatility model with predictable conditional expected returns, the conditional expected value of the discounted payoff of a European call option is infinite. Our empirical illustration shows that the characteristics of the predictive distributions of the discounted payoffs, obtained using Monte Carlo methods, do not indicate directly that the expected discounted payoffs are infinite.
Year
Volume
1
Issue
1
Pages
71-81
Physical description
Dates
received
2008-09-04
accepted
2009-01-20
Contributors
author
  • Cracow University of Economics
References
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-d5f6a995-7d40-478f-ada6-0a7360b9eb3b
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