An Empirical Investigation of the Garch Option Pricing Model: Hedging Performance
Refereed conference paper presented and published in conference proceedings

香港中文大學研究人員
替代計量分析
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其它資訊
摘要In this article, we study the empirical performance of the GARCH option pricing model relative to the ad hoc Black-Scholes (BS) model of Dumas, Fleming, and Whaley. Specifically, we investigate the empirical performance of the option pricing model based on the exponential GARCH (EGARCH) process of Nelson. Using S&P 500 options data, we find that the EGARCH model performs better than the ad hoc BS model both in terms of in-sample valuation and out-of-sample forecasting. However, the superiority of out-of-sample performance EGARCH model over the ad hoc BS model is small and insignificant except in the case of deep-out-of-money put options. The out-performance diminishes as one lengthens the forecasting horizon. Interestingly, we find that the more complicated EGARCH model performs worse than the ad hoc BS model in hedging, irrespective of moneyness categories and hedging horizons. For at-the-money and out-of-the-money put options, the underperformance of the EGARCH model in hedging is statistically significant.
著者Yung H.H.M., Zhang H.
會議名稱13th Annual Asia–Pacific Futures Research Symposium
會議開始日27.02.2003
會議完結日28.02.2003
會議地點Shanghai
會議國家/地區中國
會議論文集題名The Journal of Future Markets
出版年份2003
月份12
卷號23
期次12
出版社John Wiley & Sons Inc.
出版地United States
頁次1191 - 1207
國際標準期刊號0270-7314
語言英式英語

上次更新時間 2020-22-09 於 03:08