Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 翁喜明博士 (金融学系) |
| 张华教授 (金融学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1002/fut.10109 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/9WOS source URL
其它资讯
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. (C) 2003 Wiley Periodicals, Inc.
着者Yung HHM, Zhang H
会议名称13th Annual Asia-Pacific Futures Research Symposium/International Conference on Derivatives and Risk Management
会议开始日27.02.2003
会议完结日28.02.2003
会议地点SHANGHAI
期刊名称Journal of Futures Markets
出版年份2003
月份12
日期1
卷号23
期次12
出版社JOHN WILEY & SONS INC
页次11http://aims.cuhk.edu.hk/converis/portal/Publication/91 - 1207
国际标準期刊号0270-7314
电子国际标準期刊号10http://aims.cuhk.edu.hk/converis/portal/Publication/96-http://aims.cuhk.edu.hk/converis/portal/Publication/9http://aims.cuhk.edu.hk/converis/portal/Publication/934
语言英式英语
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE
