A Kaleidoscopic study of pricing performance of stochastic volatility option pricing models
SINGH, VIPUL KUMAR
A Kaleidoscopic study of pricing performance of stochastic volatility option pricing models Evidence from recent Indian economic turbulence - 2013 - 61-80
This research paper empirically investigates the forecasting performance of Hull-White, Heston's and heston-Nandi Garch stochastic volatility option pricing models and compares them with the benchmark Black-Scholes model for pricing S&P CNX Nifty50 indx options of India. It also attempts to find out the relative performance of models with the market price. The Heston model was found to outperform and surpass other models.
INDIAN ECONOMIC
330.954
A Kaleidoscopic study of pricing performance of stochastic volatility option pricing models Evidence from recent Indian economic turbulence - 2013 - 61-80
This research paper empirically investigates the forecasting performance of Hull-White, Heston's and heston-Nandi Garch stochastic volatility option pricing models and compares them with the benchmark Black-Scholes model for pricing S&P CNX Nifty50 indx options of India. It also attempts to find out the relative performance of models with the market price. The Heston model was found to outperform and surpass other models.
INDIAN ECONOMIC
330.954