The pricing of options on WIG20 using GARCH models Год выпуска: 2013Автор: Szymon KaminskiИздательство: LAP Lambert Academic PublishingСтраниц: 56ISBN: 9783659399978Описание In this paper the application of several option pricing models has been tested on the basis of options traded on the Warsaw Stock Exchange. The models have been evaluated by comparing option prices estimates to prices observed on the market. The chosen models are: a few alternative versions of the Duan (1995) GARCH Option Pricing Model, and two versions of the model by Black (1976). A separate section is devoted to the impact of the implied dividend yield on prices of options. The study covers a period from January 2006 to March 2012. Results show that the most accurate models are the Black model with a volatility term structure, and the Duan GARCH Option Pricing Model with implied dividend yield and Student’s T random errors.
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