Loss Functions in Option Valuation: A Framework for Selection
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DOI: 10.1287/mnsc.1080.0976
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- Christian Wolff & Dennis Bams & Thorsten Lehnert, 2008. "Loss Functions in Option Valuation: A Framework for Selection," LSF Research Working Paper Series 08-11, Luxembourg School of Finance, University of Luxembourg.
References listed on IDEAS
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- Wolff, Christian & Lehnert, Thorsten & Jin, Xisong & Bekkour, Lamia & Rasmouki, Fanou, 2012. "Euro at Risk: The Impact of Member Countries? Credit Risk on the Stability of the Common Currency," CEPR Discussion Papers 9229, C.E.P.R. Discussion Papers.
- Thorsten Lehnert & Lamia Bekkour & Xisong Jin & Fanou Rasmouki & Christian Wolff, 2012. "Euro at Risk: The Impact of Member Countries Credit Risk on the Stability of the Common Currency," LSF Research Working Paper Series 12-4, Luxembourg School of Finance, University of Luxembourg.
- Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2011.
"Modeling structural changes in the volatility process,"
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- Thorsten Lehnert & Bart Frijns & Remco C.J. Zwinkels, 2010. "Modelling structural changes in the volatility process," LSF Research Working Paper Series 10-05, Luxembourg School of Finance, University of Luxembourg.
- Thorsten Lehnert & Gildas Blanchard & Dennis Bams, 2014. "Evaluating Option Pricing Model Performance Using Model Uncertainty," LSF Research Working Paper Series 14-06, Luxembourg School of Finance, University of Luxembourg.
- Xisong Jin, 2018. "How much does book value data tell us about systemic risk and its interactions with the macroeconomy? A Luxembourg empirical evaluation," BCL working papers 118, Central Bank of Luxembourg.
- Ryszard Kokoszczyński & Natalia Nehrebecka & Paweł Sakowski & Paweł Strawiński & Robert Ślepaczuk, 2010. "Option Pricing Models with HF Data – a Comparative Study. The Properties of Black Model with Different Volatility Measures," Working Papers 2010-03, Faculty of Economic Sciences, University of Warsaw.
- Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009. "A Volatility Targeting GARCH model with Time-Varying Coefficients," LSF Research Working Paper Series 09-08, Luxembourg School of Finance, University of Luxembourg.
- Kanniainen, Juho & Lin, Binghuan & Yang, Hanxue, 2014. "Estimating and using GARCH models with VIX data for option valuation," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 200-211.
- Thorsten Lehnert, 2019. "Big moves of mutual funds," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 9(1), pages 1-27, March.
- Christian Wolff & Thorsten Lehnert & Cokki Versluis, 2009. "A Cumulative Prospect Theory Approach to Option Pricing," LSF Research Working Paper Series 09-03, Luxembourg School of Finance, University of Luxembourg.
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More about this item
Keywords
option pricing; loss functions; estimation risk; GARCH; implied volatility;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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