BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Autor
Toporek Katarzyna (University of Warsaw, Poland)
Tytuł
Simple is better. Empirical comparison of American option valuation methods
Źródło
Ekonomia / Uniwersytet Warszawski, 2012, nr 29, s. 115-144, tab., rys., bibliogr. s. 138-140
Słowa kluczowe
Model dwumianowy, Metoda Monte Carlo, Model GARCH, Wycena opcji
Binomial model, Monte Carlo method, GARCH model, Options pricing
Uwagi
summ.
Abstrakt
Technique for American options valuation, combining Least Squares Monte Carlo with Duan's model under the assumption that the volatility of the underlier can be described by GARCH(1, 1) process, has been confronted with simple binomial tree model. Results of comparison of model outcomes with market prices for ten different CBOE-traded stock options indicate that simple binomial model is superior to sophisticated GARCH-LSM method. The results hold regardless of option characteristics-"moneyness" ratio and time to maturity. Incorporating dividend in binomial model does not significantly alter the valuation outcomes. Detailed analysis shows also that for each of the methods pricing errors grow as the "moneyness" ratio decreases. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej w Warszawie
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
Pełny tekst
Pokaż
Bibliografia
Pokaż
  1. Bachelier L., 1990, Theorie de la Speculation. "Annales de l'Ecole Norm'ale Superieure", 17.
  2. Bakshi G., Cao C. i Chen Z. 1997, Empirical Performance of Alternative Option Pricing Models, "Journal of Finance", vol. 52, no. 5, p. 2003-2049.
  3. Bank of America, Dividend payment table, Investor relations, http://investor.bankofamerica.com/phoenix.zhtml?c=7l595&p=irol-dividends_pf.
  4. Bates D., 2000, Post'87 Crash Fears in the SP 500 Futures Option Market "Journal of Econometrics", vol. 94, p. 181-238.
  5. Black F., 1975, Fact and fantasy in the use of options, "Financial Analysts Journal", July-August 1975. p. 36-72.
  6. Black F., Derman E. and Toy W., 1990, A One-Factor Model of Interest Rates audits Application to Treasury Bond Options. "Financial Analysts Journal", vol. January 1990, p. 33-39.
  7. Black F., Scholes M., 1973, The Pricing of Options and Corporate Liabilities, "Journal of Political Economy", vol. 81, p. 637-654.
  8. Bollerslev T., 1986, Generalized Autoregressive Conditional Heteroskedasticity. "Journal of Econometrics", vol.31, p. 307-327.
  9. Bos M. and Vandermark S., 2002, Finessing Fixed Dividends. "Risk Magazine", September 2002, p. 157-158.
  10. Boyle P., 1977, Options: a Monte Carlo approach, "Journal of Financial Economics", vol. 4.
  11. Breen R., 1991, The Accelerated Binomial Option Pricing Model, "Journal of Financial and Quantitative Analysis", vol. 34, p. 53-68.
  12. Brennan M., Schwartz E., 1997, The valuation of American put options, "Journal of Finance", vol. 32, p. 449-462
  13. Broadie M., Detemple J., 1996, American Option Valuation: New Bounds, Approximations and a Comparison of Existing Methods. "Review of Financial Studies", vol. 9, p. 211-250.
  14. Broadie M., Glasserman, P., Jain, G., 1997, Enhanced Monte Carlo estimates for American option prices, "Journal of Derivatives", vol. 5 no. 1.
  15. Broadie M., Glasserman, P., Ha, Z. 2000, Pricing American Options by Simulation Using a Stochastic Mesh with Optimized Weights. "Probabilistic Constrained Optimization: Methodology and Applications", vol. 2000.
  16. Carriere J., 1996, Valuation of the Early-Exercise Price for Options Using Simulations and Nonparametric Regression. "Insurance: Mathematics and Economics", vol. 19, p. 19-30.
  17. CBOE Holdings Inc., CBOE market statistics. http://www.cboe.com/data/AnnualMarketStatistics.aspx.
  18. Clement E., Lamberton D., Protter P., 2002, An analysis of a least squares regression method for American option pricing. "Finance and Stochastics", vol. 6. p. 449 471.
  19. Cox J., Ross S., 1976, The valuatrion of options for alternative stochastic processes. "Journal of Financial Economics", vol. 3, no. 1-2, p. 145-166.
  20. Cox J., Rubinstein M., 1979, Option Pricing: A Simplified Approach. "Journal of Financial Economics", vol. 7. p. 229-263.
  21. Crank J., Nicolson P., 1947, A practical method for numerical evaluation of solutions of partial differential equations of the heat con duction type, "Proc. Camb. Phil. Soc.", vol. 43 no. 1, p. 50-67.
  22. Duan J.-C., 1905, The GARCH Option Pricing Model "Mathematical Finance", vol. 5, p. 13-32.
  23. Duan J.-C., 1997, Augmented GARCH(p, q) Process and its Diffusion Limit "Journal of Econometrics", vol. 79, p. 97-127.
  24. Figlewski S., Gao B., 1990, The Adaptive Mesh Model: A New Approach To E$cient Option Pricing, "Journal of Financial Economics", vol. 53, p. 313-351.
  25. Hafner C., and Herwartz H., 2001, Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis. "Journal of Empirical Finance", vol. 8. nr 1. p. 1 M
  26. Heston S., 1993, A closed-form solution for options with stochastic volatility with applications to bond and currency options, "Review of Financial Studies", vol. 5, no. 2, p. 327-343.
  27. Heston S., Zhou G., 2000, On the Rate of Convergence of Discrete-Time Contingent Claims, "Mathematical Finance", vol. p. 53-75.
  28. Ho T., Staploton R., Subrahmanyam M., 1995, Multivariate Binomial Approximations for Asset Prices with Non-Stationary Variance and Covariance Characteristics, "Review of Financial Studies", vol. 8. p. 1125-1152.
  29. Hoppe R., Lipp T., 2011, Optimal control of European double barrier basket options, "Journal of Numerical Mathematics", vol. 19.
  30. Hull J., 1993, Options, Futures and Other Derivative Securities, Pearson Prentice Hall, New Jersey 1993.
  31. Hull J., 2004, Fundamentals of Futures and Options Markets. Prentice Hall, Now Jersey 2004.
  32. Hull J., White A., 1987, The Pricing of Options on Assets with Stochastic Volatilities, "Journal of Finance", vol.42, no. 2. p. 281-300.
  33. Kokoszczynski R., Sakowski P., Ślepaczuk R., 2010, Midquotes or Transactional Data? The Comparison of Black Model on HF Data. WNE Working Papers, no 38. Warsaw 2010.
  34. Jacquier E., Poison N., and Rossi P., 2004, Bayesian analysis of stochastic volatility models with fat-tails and correlated errors. "Journal of Econometrics", vol. 122. p. 185 212.
  35. Longstaff F. and Schwartz E., 2001, Valuing American Options by Simulation: A Simple Least-Squares Approach. "The Review of Financial Studies", vol. 14. no. 1. p. 113-148.
  36. Merton R., 1973, Theory of Rational Option Pricing, "Bell Journal of Economics", vol. 4(1), p. 141-183.
  37. Merton R., 1976, Option Pricing when underlying stock returns are discontinuous, "Journal of Financial Economics", vol. 3. p. 125-144.
  38. Meyer G., 2001, Numerical investigation of early exercise in American puts with discrete dividends, "Journal of Computational Finance", 2001, vol. 5. no. 2.
  39. Musiela M., Rutkowski M., 1997, Martingale Methods in Financial Modelling. Springer. 1997.
  40. Nelson D. 1990, ARCH Models as Diffusion Approximations. "Journal of Econometrics", vol. 45. p. 7-38.
  41. Nieuwenhuis J., Vellokoop M., 2006, Efficient. Pricing of Derivatives on Assets with Discrete Dividends, "Applied Mathematical Finance", vol. 13. no. 3, p. 265-284.
  42. Piontek K., 2003, Wycena opcji w modelu uwzględniającym efekt AR-GARCH "Prace Naukowe Akademii Ekonomicznej we Wrocławiu", no. 990, p. 331-336.
  43. Ritchken P., and Trevor R., 1999, Pricing Options under Generalized GARCH and Stochastic Volatility Processes, "Journal of Finance", vol. 54. p. 377-402.
  44. Sakowski P., 2011, PhD dissertation: Wycena opcji indeksowych na danych wysokiej częstotliwości Analiza porównawcza, Warsaw University Faculty of Economic Sciences.
  45. Siu T., Tong H. i Yang H., 2004, On Pricing Derivatives under GARCH Models: A Dynamic Gerber-Shiu's Approach, "North American Actuarial Journal", vol. 8, no 3, p. 17-31.
  46. Stentoft L., 2004, Assessing the Least Squares Monte-Carlo Approach to American Option Valuation, "Review of Derivatives Research", vol. 7, p. 129-168.
  47. Stentoft L., 2005, Pricing American Options when the Underlying Asset follows GARCH processes, "Journal of Empirical Finance", vol. 12, p. 576-611.
  48. Tilley J., 1993, Valuing American Options in a Path Simulation Model, "Transactions of the Society of Actuaries", vol. 45, p. 83-104.
  49. Tsitsiklis J., Van Roy B., 2001, Regression Methods for Pricing Complex American-Style Options, "IEEE Transactions on Neural Networks", vol. 12 no. 4, p. 694-703.
  50. Wiggins J., 1987, Option Values Under Stochastic Volatility: Theory and Empirical Estimates, "Journal of Financial Economics", vol. 19, p. 351-372.
  51. Zanger D., 2009, Convergence of a Least-Squares Monte Carlo Algorithm for Bounded Approximating Sets, "Applied Mathematical Finance", vol. 16, no 2, p. 123-150.
Cytowane przez
Pokaż
ISSN
0137-3056
Język
eng
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu