Option Valuation with Long-run and Short-run Volatility Components

1 January 2005

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.686821

Abstract

This paper presents a new model for the valuation of European options. In our model, the volatility of returns consists of two components. One of these componen

Keywords

RETURNS
LONG RUN
VALUATION WITH LONG
OPTION VALUATION
VOLATILITY COMPONENTS
NEW MODEL

All Related Versions

Version 1, 2008-01-01, RePEc (Unconfirmed version)
Version 1, 2004-01-01, RePEc (Unconfirmed version)

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