A Kaleidoscopic study of pricing performance of stochastic volatility option pricing models Evidence from recent Indian economic turbulence
Material type: Mixed materialsPublication details: 2013Description: 61-80Subject(s): NLM classification:- 330.954
Item type | Current library | Call number | Vol info | Status | Date due | Barcode | |
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Periodicals/Magazines | SSCBS Library | 38/2 | Available | P14938 |
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.
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