Since 2014
Option Pricing under Sign RCA-GARCH Models
Dynamic Econometric Models
View Archive Info| Field | Value | |
| Title |
Option Pricing under Sign RCA-GARCH Models
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| Creator |
Górka, Joanna; Nicolaus Copernicus University, Faculty of Economic Sciences and Management
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| Subject |
Sign RCA-GARCH models; option pricing; GARCH models
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| Description |
After Black and Scholes’s groundbreaking work, the literature concerning pricing options has become a very important area of research. Numerous option valuation methods have been developed. This paper shows how one can compute option prices using Sign RCA-GARCH models for the dynamics of the volatility. Option pricing obtained from Sign RCA-GARCH models, the Black and Scholes’s valuation and other selected GARCH option pricing models are compared with the market prices. This approach was illustrated by the valuation of the European call options on the WIG20 index. The empirical results indicated that RCA-GARCH and Sign RCA-GARCH models can be successfully used for pricing options. However none of the models can be indicated as the best one for the option valuations for every period and every time to maturity of the options.
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| Publisher |
Nicolaus Copernicus University
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| Contributor |
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| Date |
2015-04-15
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://apcz.umk.pl/czasopisma/index.php/DEM/article/view/DEM.2014.008
10.12775/DEM.2014.008 |
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| Source |
Dynamic Econometric Models; Vol 14 (2014); 145-160
Dynamic Econometric Models; Vol 14 (2014); 145-160 2450-7067 1234-3862 |
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| Language |
eng
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| Relation |
http://apcz.umk.pl/czasopisma/index.php/DEM/article/view/DEM.2014.008/5256
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| Rights |
Copyright (c) 2015 Dynamic Econometric Models
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