- Author
- Bartkowiak Marcin (Uniwersytet Ekonomiczny w Poznaniu)
- Title
- Wycena opcji na indeks WIG20 na podstawie modeli GARCH z przełączeniami reżimów
Application of the Markov Switching GARCH Models to the WIG20 Option Pricing - Source
- Acta Universitatis Nicolai Copernici. Nauki Humanistyczno-Społeczne. Ekonomia, 2009, t. 39, s. 197-205, tab., bibliogr. 11 poz.
- Issue title
- Dynamiczne modele ekonometryczne
- Keyword
- Wycena opcji, Model GARCH, Warszawski Indeks Giełdowy (WIG)
Options pricing, GARCH model, Warsaw Stock Exchange Index - Abstract
- W artykule podjęto próbę wyceny europejskiej opcji kupna na indeks WIG20 w oparciu o model GARCH z przełączeniami reżimów. Trudności w estymacji modelu ograniczają możliwości wykorzystania tego podejścia w praktyce, niemniej uzyskane wyniki pokazują, że prezentowana metoda wyceny może stanowić alternatywę dla klasycznego modelu Blacka- -Scholesa-Mertona. (abstrakt oryginalny)
The Markov Switching models are an interesting alternative to modelling the volatility of financial assets, as they make it possible to capture the periods of high and low activity typical for financial markets.. In the article the author tried to use the Markov Switching ARGARCH models to the WIG20. (original abstract) - Full text
- Show
- Bibliography
-
- Black F., Scholes M. (1973), The Pricing of Options and Corporate Liabilities, "Journal of Political Economy", 81, 637-659.
- Cont R. (2001), Empirical properties of asset returns: stylized facts and statistical issues, "Quantitative Finance", 1, 223-236.
- Davidson J. (2004), Forecasting Markov-switching dynamic, conditionally heteroscedastic processes, "Statistic and Probability Letters", 68, 137-147.
- Doman M., Doman R. (2004), Ekonometryczne modelowanie dynamiki polskiego rynku finansowego, AE w Poznaniu, Poznań.
- Duan J.-C. (1995), The GARCH Option Pricing Model, "Mathematical Finance", 5, 13-32.
- Duan J.-C. (1999), Conditionally fat-tailed distributions and the volatility smile in options, Working Paper, Department of Finance, Hong Kong University of Science and Technology
- Duan J.C., Popova I., Ritchken P. (2002), Option pricing under regime switching, "Quantitative Finance", 2, 116-132.
- Gray S. (1996), Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process, "Journal of Financial Economics", 42, 27-62.
- Hamilton J.D., Susmel R. (1994), Autoregressive Conditional Heteroscedasticity and Changes in Regime, "Journal of Econometrics", 64, 307-333
- Klassen F. (2002), Improving GARCH Volatility Forecasts with Regime-Switching GARCH, "Empirical Economics", 27, 363-394
- Merton R.C. (1973), Theory of rational option pricing, "Bell Journal of Economics and Managment Science", 4, 141-183.
- Cited by
- ISSN
- 2080-0339
- Language
- pol
