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Toporek Katarzyna (University of Warsaw, Poland)
Simple is better. Empirical comparison of American option valuation methods
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
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
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