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2003 | 50 | z. 3 | 133--162
Tytuł artykułu

Efektywność teoretycznych modeli do wyceny opcji

Treść / Zawartość
Warianty tytułu
The Efficiency of Theoretical Models for Option Pricing
Języki publikacji
PL
Abstrakty
W artykule przedstawiono szczegółową analizę efektywności dwóch modeli: modelu N-GARCH i modelu skokowo-dyfuzyjnego w porównaniu do modelu Blacka-Scholesa. Przedmiotem rozważań są empiryczne techniki wykorzystywane do wyceny racjonalnych czy sprawiedliwych wartości opcji opiewających na indeks DAX na giełdzie terminowej Deutsche Terminbörse (DTB).
EN
In the paper the author present the detailed analysis of efficincy of two models of option pricing as compared to Black-Schoes model. These are: the model based on nonlinear GARCH process and the model based on modified discrete-diffusion process of evolution of the base instruments values. For parameter estimation of these two processes maximum likelihood method was used.
Rocznik
Tom
50
Numer
Strony
133--162
Opis fizyczny
Twórcy
Bibliografia
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  • [5] Bates, D. (1995) Testing Option Pricing Models National Bureau of Economics Research working paper 5129.
  • [6] Bates D. (1996a) Jumps and stochastic volatility: Exchange rate processes implicit in PHLX Deutschemark options, Review of Financial Studies 9, s. 69-108.
  • [7] Bates D. (1996b) Post-87 crash fears in S&P 500 futures options Working Paper, University of Iowa.
  • [8] Berdnt E., Hall B., Hall R., Hausman J., (1974), Estimation Inference in Nonlinear Structural Models, Annals of Economic and Social Measurement 3, s. 653-665.
  • [9] Black F. Scholes M., (1973) The pricing of options and corporate liablities, Journal of Political Economy81, s. 637-659.
  • [10] Bollerslev T. (1986) Generalized Autoregressive Conditional Heteroskedasticity Journal of Econometrics 31, s. 307-327.
  • [11] Bollerslev T., Chou Y., Kroner K. (1992) ARCH Modelling in Finance: A Selective Review of Theory and Empirical Evidence Journal of Econometrics 52, s. 201-224.
  • [12] Bollerslev T., Engle R. (1993) Common Persistancce in Conditional Variances Econometrica 61, s. 166-187.
  • [13] Bollerslev T., Engle R., Nelson D. (1994) ARCH Models in R.F. Engle, D.McFadden (eds.) Handbook of Econometics, Volumen IV (North-Holland Amsterdam).
  • [14] Choi Seungmook, Wohar M. (1992), Implied Volatility in Options Markets and Conditional Heterosceda-sticity in Stock Markets, Financial Review 27, s. 503-530.
  • [15] Clark P. (1973), A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, Eco-nometrica 41, s. 135-155.
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  • [17] Duan Jin-Chuan (1995), The GARCH Option Pricing Model, Mathematical Finance 5, s. 13-32.
  • [18] Duan Jin-Chuan (1996), A Unified Theory of Option Pricing under Stochastic Volatility - from GARCH to Diffusion, Unpublished manuscript, HongKong University of Science and Technology.
  • [19] Duan Jin-Chuan, Jean-Guy Simonato, (1995), Estimating and Testing Exponential-Affine Term Models byKaiman Filter, Scientific Series - Working Paper 95, s. 44.
  • [20] Engle R., Mustafa C. (1992) Implied ARCH models from option prices, Journal of Econometrics 52, s. 289-311.
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  • [22] Long Nguyen Thanh (1999), Modele wyceny opcji i ich empiryczna weryfikacja na przykładzie giełdy DTB, praca doktorska, SGH 1999.
  • [23] Long Nguyen Thanh (2000), Jump-diffusion and GARCH Option Pricing Model - A Review of Theory and Empirical Study from DTB, Zeszyty naukowe Nr 8, SGH - 2000.
  • [24] Long Nguyen Thanh (2002), An Analytical Approach to Value Options with State Variables of a Levy System, forthcoming in the European Finance Review, URL: http://ideas.repec.Org/e/png13.html.
  • [25] Merton R., (1973), The Theory of Rational Option Pricing, The Bell Journal of Economics and Management Science 4, s. 141-183.
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  • [28] Hull J. (1993), Options, Futures, and Other Derivatives Securities, 2-nd ed. Prentice-Hall International Editions.
  • [29] Hull J., White A. (1987), The Pricing of Options on Assets with Stochastic Volatilities, Journal of Finance 42, s. 281-300.
  • [30] Hull J., White A. (1988), An Analysis of the Bias in Option Pricing caused by a stochastic volatility, Advanced in Futures and Options Research 3, s. 29-61.
  • [31] Johnson H., Shanno D. (1987), Option Pricing when the Variance is changing, Journal of Financial and Quantitative Analysis 22, s. 143-151.
  • [32] Press S. (1967), A Compound Events Model for Security Prices, Journal of Business 40, s. 317-355.
  • [33] Scott L. (1987), Option Pricing when the Variance Changes randomly: Theory, Estimation and Aplication, Journal of Financial and Quantitative Analysis 22, s. 419-438.
  • [34] Weron A., Weron R., Inżynieria Finansowa: Wycena Instrumentów Pochodnych, Symulacje Komputerowe, Statystyka Rynku, WNT Warszawa 1998.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000000110849

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