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The performance of GARCH option pricing models: An empirical study on Swedish OMXS30 call options
Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
2013 (English)Independent thesis Advanced level (degree of Master (Two Years)), 10 credits / 15 HE creditsStudent thesis
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. 

Place, publisher, year, edition, pages
2013. , p. 25
National Category
Economics
Identifiers
URN: urn:nbn:se:hj:diva-21686OAI: oai:DiVA.org:hj-21686DiVA, id: diva2:637395
Subject / course
IHH, Economics
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Examiners
Available from: 2013-09-12 Created: 2013-07-17 Last updated: 2013-09-12Bibliographically approved

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf