کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
11012429 1799047 2019 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Wavelet-based option pricing: An empirical study
ترجمه فارسی عنوان
قیمت گذاری گزینه مبتنی بر موج: مطالعات تجربی
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
چکیده انگلیسی
In this paper, we scrutinize the empirical performance of a wavelet-based option pricing model which leverages the powerful computational capability of wavelets in approximating risk-neutral moment-generating functions. We focus on the forecasting and hedging performance of the model in comparison with that of popular alternative models, including the stochastic volatility model with jumps, the practitioner Black-Scholes model and the neural network based model. Using daily index options written on the German DAX 30 index from January 2009 to December 2012, our results suggest that the wavelet-based model compares favorably with all other models except the neural network based one, especially for long-term options. Hence our novel wavelet-based option pricing model provides an excellent nonparametric alternative for valuing option prices.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 272, Issue 3, 1 February 2019, Pages 1132-1142
نویسندگان
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