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The performance of GARCH option pricing models: An empirical study on Swedish OMXS30 call options
Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Economics, Finance and Statistics.
2013 (engelsk)Independent thesis Advanced level (degree of Master (Two Years)), 10 poäng / 15 hpOppgave
Abstract [en]

The purpose of this thesis is to examine the properties for different specifications of the HestonNandi GARCH option pricing model and the pricing performance on european Swedish OMXS30 call options. The sample consists of a total of 2467 options (both in-sample and out-of-sample) for 2011 and 2012, which are priced with three specifications of the HestonNandi-GARCH model and then compared to the pricing performance of the BlackScholes model. The examination shows that the BlackScholes model performs better out-of-sample then the specifications of the HestonNandi GARCH model. All models pricing errors show significant relationship to moneyness and the term structure of the interest rate. We also confirm the findings of Heston and Nandi (2000) who states that their model is especially sensitive to the volatility of volatility and the skewness parameter. 

sted, utgiver, år, opplag, sider
2013. , s. 25
HSV kategori
Identifikatorer
URN: urn:nbn:se:hj:diva-21686OAI: oai:DiVA.org:hj-21686DiVA, id: diva2:637395
Fag / kurs
IHH, Economics
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Examiner
Tilgjengelig fra: 2013-09-12 Laget: 2013-07-17 Sist oppdatert: 2013-09-12bibliografisk kontrollert

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The performance of GARCH option pricing models(886 kB)1846 nedlastinger
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