Option Pricing Under GARCH Models Applied to the SET50 Index of Thailand
Variance changes over time and depends on historical data and previous variances; as a result, it is useful to use a GARCH process to model it. In this paper, we use the notion of Conditional Esscher transform to GARCH models to find the GARCH, EGARCH and GJR risk-neutral models. Subsequently, we a...
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| 格式: | 文件 |
| 语言: | English |
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WSEAS. Unifying Science and Engineering
2021
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| 主题: | |
| 在线阅读: | https://repo.uum.edu.my/id/eprint/30894/1/WTM%2020%202021%20112-121.pdf https://doi.org/10.37394/23206.2021.20.12 |
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| author | Arunsingkarat, Somphorn Costa, Renato Misiran, Masnita Phewchean, Nattakorn |
| author_facet | Arunsingkarat, Somphorn Costa, Renato Misiran, Masnita Phewchean, Nattakorn |
| author_sort | Arunsingkarat, Somphorn |
| collection | UUM |
| description | Variance changes over time and depends on historical data and previous variances; as a result, it is
useful to use a GARCH process to model it. In this paper, we use the notion of Conditional Esscher transform to GARCH models to find the GARCH, EGARCH and GJR risk-neutral models. Subsequently, we apply these three models to obtain option prices for the Stock Exchange of Thailand and compare to the well-known Black-Scholes model. Findings suggest that most of the pricing options under GARCH model are the nearest to the actual prices for SET50 option contracts with both times to maturity of 30 days and 60 days |
| first_indexed | 2024-07-04T06:46:45Z |
| format | Article |
| id | uum-30894 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T06:46:45Z |
| publishDate | 2021 |
| publisher | WSEAS. Unifying Science and Engineering |
| record_format | eprints |
| spelling | uum-308942024-06-23T08:39:26Z https://repo.uum.edu.my/id/eprint/30894/ Option Pricing Under GARCH Models Applied to the SET50 Index of Thailand Arunsingkarat, Somphorn Costa, Renato Misiran, Masnita Phewchean, Nattakorn QA Mathematics Variance changes over time and depends on historical data and previous variances; as a result, it is useful to use a GARCH process to model it. In this paper, we use the notion of Conditional Esscher transform to GARCH models to find the GARCH, EGARCH and GJR risk-neutral models. Subsequently, we apply these three models to obtain option prices for the Stock Exchange of Thailand and compare to the well-known Black-Scholes model. Findings suggest that most of the pricing options under GARCH model are the nearest to the actual prices for SET50 option contracts with both times to maturity of 30 days and 60 days WSEAS. Unifying Science and Engineering 2021 Article PeerReviewed application/pdf en cc4_by https://repo.uum.edu.my/id/eprint/30894/1/WTM%2020%202021%20112-121.pdf Arunsingkarat, Somphorn and Costa, Renato and Misiran, Masnita and Phewchean, Nattakorn (2021) Option Pricing Under GARCH Models Applied to the SET50 Index of Thailand. WSEAS Transactions On Mathematics, 20. pp. 112-121. ISSN 2224-2880 https://wseas.com/journals/mathematics/2021/a245106-008(2021).pdf https://doi.org/10.37394/23206.2021.20.12 https://doi.org/10.37394/23206.2021.20.12 |
| spellingShingle | QA Mathematics Arunsingkarat, Somphorn Costa, Renato Misiran, Masnita Phewchean, Nattakorn Option Pricing Under GARCH Models Applied to the SET50 Index of Thailand |
| title | Option Pricing Under GARCH Models Applied to the SET50 Index of Thailand |
| title_full | Option Pricing Under GARCH Models Applied to the SET50 Index of Thailand |
| title_fullStr | Option Pricing Under GARCH Models Applied to the SET50 Index of Thailand |
| title_full_unstemmed | Option Pricing Under GARCH Models Applied to the SET50 Index of Thailand |
| title_short | Option Pricing Under GARCH Models Applied to the SET50 Index of Thailand |
| title_sort | option pricing under garch models applied to the set50 index of thailand |
| topic | QA Mathematics |
| url | https://repo.uum.edu.my/id/eprint/30894/1/WTM%2020%202021%20112-121.pdf https://doi.org/10.37394/23206.2021.20.12 |
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