کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5091753 1375744 2014 26 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Pricing Hang Seng Index options around the Asian financial crisis - A GARCH approach
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Pricing Hang Seng Index options around the Asian financial crisis - A GARCH approach
چکیده انگلیسی
This paper investigates how well the Hang Seng Index options, the most important class of option contracts traded in Hong Kong, are priced using the GARCH approach. We calibrated the GARCH parameters using the call and put option data and used them to price options in the subsequent weeks. We found the GARCH model performs very well in comparison with the Black-Scholes model even after allowing for a smile/smirk adjustment. Its superior performance was also evident both before and during the recent Asian financial turmoil.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 25, Issue 11, November 2001, Pages 1989-2014
نویسندگان
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