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Consequences for option pricing of a long memory in volatility

Research output: Working paper

Published

Standard

Consequences for option pricing of a long memory in volatility. / Taylor, S J.
Lancaster University: The Department of Accounting and Finance, 2001. (Accounting and Finance Working Paper Series).

Research output: Working paper

Harvard

Taylor, SJ 2001 'Consequences for option pricing of a long memory in volatility' Accounting and Finance Working Paper Series, The Department of Accounting and Finance, Lancaster University.

APA

Taylor, S. J. (2001). Consequences for option pricing of a long memory in volatility. (Accounting and Finance Working Paper Series). The Department of Accounting and Finance.

Vancouver

Taylor SJ. Consequences for option pricing of a long memory in volatility. Lancaster University: The Department of Accounting and Finance. 2001. (Accounting and Finance Working Paper Series).

Author

Taylor, S J. / Consequences for option pricing of a long memory in volatility. Lancaster University : The Department of Accounting and Finance, 2001. (Accounting and Finance Working Paper Series).

Bibtex

@techreport{7aefc7c0dece4844b3e8574ea1bd828b,
title = "Consequences for option pricing of a long memory in volatility",
abstract = "The economic consequences of a long memory assumption about volatility are documented, by comparing implied volatilities for option prices obtained from short and long memory volatility processes. Numerical results are given for options on the S&P 100 index from 1984 to 1998, with lives up to two years. The long memory assumption is found to have a significant impact upon the term structure of implied volatilities and a relatively minor impact upon smile effects. These conclusions are important because evidence for long memory in volatility has been found in the prices of many assets.",
author = "Taylor, {S J}",
year = "2001",
language = "English",
series = "Accounting and Finance Working Paper Series",
publisher = "The Department of Accounting and Finance",
type = "WorkingPaper",
institution = "The Department of Accounting and Finance",

}

RIS

TY - UNPB

T1 - Consequences for option pricing of a long memory in volatility

AU - Taylor, S J

PY - 2001

Y1 - 2001

N2 - The economic consequences of a long memory assumption about volatility are documented, by comparing implied volatilities for option prices obtained from short and long memory volatility processes. Numerical results are given for options on the S&P 100 index from 1984 to 1998, with lives up to two years. The long memory assumption is found to have a significant impact upon the term structure of implied volatilities and a relatively minor impact upon smile effects. These conclusions are important because evidence for long memory in volatility has been found in the prices of many assets.

AB - The economic consequences of a long memory assumption about volatility are documented, by comparing implied volatilities for option prices obtained from short and long memory volatility processes. Numerical results are given for options on the S&P 100 index from 1984 to 1998, with lives up to two years. The long memory assumption is found to have a significant impact upon the term structure of implied volatilities and a relatively minor impact upon smile effects. These conclusions are important because evidence for long memory in volatility has been found in the prices of many assets.

M3 - Working paper

T3 - Accounting and Finance Working Paper Series

BT - Consequences for option pricing of a long memory in volatility

PB - The Department of Accounting and Finance

CY - Lancaster University

ER -