- Author
- Year
- 2001
- Title
- Volatility Mean Reversion and the Market Price of Volatility Risk
- Book/source title
- Proceedings of the International Conference on Modelling and Forecasting Financial Volatility
- Publisher
- Perth: The University of Western Australia
- Document type
- Conference contribution
- Faculty
- Faculty of Economics and Business (FEB)
- Institute
- Amsterdam School of Economics Research Institute (ASE-RI)
- Abstract
- This paper analyzes sources of derivative pricing errors in a stochastic volatility model estimated on stock return data. It is shown that such pricing errors may reflect the existence of a market price of volatility risk, but also may be caused by estimation errors due to a slow mean reversion in the volatility process. These issues are investigated empirically using asset return and option price data on the Dutch AEX index.
- Link
- Link
- Language
- Undefined/Unknown
- Persistent Identifier
- https://hdl.handle.net/11245/1.184462
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