New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model

摘要: The authors investigate a new basic model for asset pricing, the hyperbolic model, which allows an almost perfect statistical fit of stock return data. After detailed introduction into theory they use secondary market data to compare classical Black-Scholes model. study implicit volatilities, smile effect, and pricing performance. Exploiting full power construct option value process from point view by estimating risk-neutral density function Finally, present some value-at-risk calculations leading perspectives cope with risk. Copyright 1998 University Chicago Press.