Abstract
Using transaction data for call options on the DAX, this study examines the empirical performance of (i) the standard Black/Scholes model (1973), (ii) the jump-diffusion model by Merton (1976), (iii) Heston's stochastic volatility model (1993), and (iv) Bates' stochastic volatility jump-diffusion model (1996) across different maturity and moneyness categories.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
