Search Results - subject:"option pricing models"

Appraising model complexity in option pricing

Cummins, Mark; Esposito, Francesco - 2025

Persistent link: https://www.econbiz.de/10015376680

Construction and hedging of equity index options portfolios

Wysocki, Maciej; Ślepaczuk, Robert - 2024

Persistent link: https://www.econbiz.de/10014634884

Modeling S&P500 returns with GARCH models

Alfaro, Rodrigo; Inzunza, Alejandra - In: Latin American journal of central banking : LAJCB 4 (2023) 3, pp. 1-11

This paper provides several estimates of the GARCH models' parameters for the S&P500 index, based on returns and CBOE VIX. Using a daily sample collected from 2007 to 2022, we can conclude that adding the VIX information improves the estimates of the long-term volatility. By providing an...

Persistent link: https://www.econbiz.de/10014382969

Variance Gamma process in the option pricing model

Drahokoupil, Jakub - 2021

Persistent link: https://www.econbiz.de/10012493120

GARCH option pricing models and the variance risk premium

Zhang, WenJun; Zhang, Jin E. - In: Journal of Risk and Financial Management 13 (2020) 3, pp. 1-21

premium. Empirical estimation exercises show that the GARCH option-pricing models under our mLRNVR are able to price the SPX …In this paper, we modify Duan's (1995) local risk-neutral valuation relationship (mLRNVR) for the GARCH option-pricing … models. In our mLRNVR, the conditional variances under two measures are designed to be different and the variance process is …

Persistent link: https://www.econbiz.de/10012611270

GARCH option pricing models and the variance risk premium

Zhang, WenJun; Zhang, Jin E. - In: Journal of risk and financial management : JRFM 13 (2020) 3/51, pp. 1-21

premium. Empirical estimation exercises show that the GARCH option-pricing models under our mLRNVR are able to price the SPX …In this paper, we modify Duan’s (1995) local risk-neutral valuation relationship (mLRNVR) for the GARCH option-pricing … models. In our mLRNVR, the conditional variances under two measures are designed to be different and the variance process is …

Persistent link: https://www.econbiz.de/10012174118

Midquotes or Transactional Data? The Comparison of Black Model on HF Data

Kokoszczyński, Ryszard; Sakowski, Paweł; Ślepaczuk, … - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2010

The main idea of this research is to check the efficiency of the Black option pricing model on the basis of HF emerging market data. However, liquidity constraints - a typical feature of an emerging derivatives market - put severe limits for conducting such a study. That is the reason why...

Persistent link: https://www.econbiz.de/10008739735

Which Option Pricing Model is the Best? High Frequency Data for Nikkei225 Index Options

Kokoszczyński, Ryszard; Sakowski, Paweł; Ślepaczuk, … - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2010

Option pricing models are the main subject of many research papers prepared both in academia and financial industry …. Using high-frequency data for Nikkei225 index options, we check the properties of option pricing models with different …

Persistent link: https://www.econbiz.de/10008763309

Option Pricing Models with HF Data – a Comparative Study. The Properties of Black Model with Different Volatility Measures

Kokoszczyński, Ryszard; Nehrebecka, Natalia; Sakowski, … - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2010

This paper compares option pricing models, based on Black model notion (Black, 1976), especially focusing on the …

Persistent link: https://www.econbiz.de/10008515128

Emerging versus developed volatility indices. The comparison of VIW20 and VIX indices

Ślepaczuk, Robert; Zakrzewski, Grzegorz - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2009

Modeling of financial markets volatility is one of the most significant issues of contemporary finance, especially with regard to analyzing high-frequency data. Accurate quantification and forecast of volatility are of immense importance in risk management (VaR models, stress testing and...

Persistent link: https://www.econbiz.de/10008496170