A Kaleidoscopic study of pricing performance of stochastic volatility option pricing models (Record no. 11926)
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fixed length control field | 00950npc a2200169Ia 4500 |
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
fixed length control field | 140613s2013 xx 000 0 und d |
060 ## - NATIONAL LIBRARY OF MEDICINE CALL NUMBER | |
Classification number | 330.954 |
100 ## - MAIN ENTRY--PERSONAL NAME | |
Personal name | SINGH, VIPUL KUMAR |
245 #2 - TITLE STATEMENT | |
Title | A Kaleidoscopic study of pricing performance of stochastic volatility option pricing models |
Remainder of title | Evidence from recent Indian economic turbulence |
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
Date of publication, distribution, etc. | 2013 |
300 ## - PHYSICAL DESCRIPTION | |
Extent | 61-80 |
520 ## - SUMMARY, ETC. | |
Summary, etc. | 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. |
653 ## - INDEX TERM--UNCONTROLLED | |
Uncontrolled term | INDIAN ECONOMIC |
700 ## - ADDED ENTRY--PERSONAL NAME | |
Personal name | PACHOTI, PUSHKAR |
773 ## - HOST ITEM ENTRY | |
Other item identifier | P14938 |
Note | M |
Host Itemnumber | 30730 |
Host Biblionumber | 11191 |
Title | VIKALPA |
942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
Source of classification or shelving scheme | Dewey Decimal Classification |
Koha item type | Articles |
No items available.