Porównanie modeli wyceny opcji na danych wysokiej częstotliwości

• Autorzy: Ryszard Kokoszczyński , Natalia Nehrebecka , Paweł Sakowski , Paweł Strawiński , Robert Ślepczak

Warianty tytułu

Option Pricing Models whith HF Data

• Języki publikacji: PL

Abstrakty

Artykuł ma charakter metodyczny, gdyż ocenia właściwości teoretyczne estymatora zmienności zrealizowanej (realized volatility)w modelu Blacka. Efektywność tego mdelu poddano ocenie przy wykorzystaniuuśrednionej zmienności zrealizowanej lub przy zastosowaniu interwału delta ( w przedziale testowym 10s - 15 m). (fragment tekstu)

EN

Through the analysis of Black option pricing model with realized Volatility (RV) on HF data (lOs data for WIG20 index options in the first half of 2008 year) we present the properties of RV estimator. The detailed attention is put to utilization of RV as a sigma parameter in option pricing model. The properties of realized Volatility analysed in details by Andersen et al. (2001 a, 2001 b, 2003), Martens and Dijk (2007) or Ślepaczuk and Zakrzewski (2009) enable to formulate the hypothesis, that the standard version of RV estimator (annualized sum of squared logarithmic rates of return calculated on the basis of HF data on interval delta) is characterized by high Volatility of Volatility. This feature significantly affects the efficiency of Black option pricing model with realized Volatility. The properties of realized Volatility can be significantly modified if RV estimator will be averaged or calculated on the basis of different time interval. In the first case, the properties of averaged RV estimator makes it similar to the classical standard deviation, reducing Volatility of Volatility, while in the second case, manipulating with the interval delta (at least within the tested interval: from l Os to 15m) we do not affect the properties of RV estimator. We analyse the relation-ship mentioned above and describe the influence of assumption taken in the process of RV calculation on the efficiency of Black option pricing model. At the end we try to define some characteristics of Volatility estimator, which will be the most appropriate in the option pricing model. (original abstract)

Słowa kluczowe

PL

Wycena instrumentów pochodnych; Estymatory; Modele wyceny

EN

Derivatives pricing; Estimators; Pricing models

• Czasopismo: Zeszyty Naukowe / Uniwersytet Ekonomiczny w Poznaniu
• Rocznik: 2010
• Numer: nr 143
• Strony: 214--226

Twórcy

autor

Ryszard Kokoszczyński

• Uniwersytet Warszawski

autor

Natalia Nehrebecka

• Uniwersytet Warszawski

autor

Paweł Sakowski

• Uniwersytet Warszawski

autor

Paweł Strawiński

• Uniwersytet Warszawski

autor

Robert Ślepczak

• Uniwersytet Warszawski

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