An analytical approximation of option prices via TGARCH model

บทความในวารสาร

ผู้เขียน/บรรณาธิการ

กลุ่มสาขาการวิจัยเชิงกลยุทธ์

รายละเอียดสำหรับงานพิมพ์

รายชื่อผู้แต่ง: Hongwiengjan, Warunya; Thongtha, Dawud

ปีที่เผยแพร่ (ค.ศ.): 2021

Volume number: 34

Issue number: 1

หน้าแรก: 948

หน้าสุดท้าย: 969

จำนวนหน้า: 22

นอก: 1331677X

URL: https://www.scopus.com/inward/record.uri?eid=2-s2.0-85090086556&doi=10.1080%2f1331677X.2020.1805636&partnerID=40&md5=381678c18f89d3c3b9c17cc90f2e071f

ภาษา: English-Great Britain (EN-GB)

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บทคัดย่อ

An option is a financial contract that can be used to reduce risks in an investment. It is widely known that a fair price of this contract depends significantly on the volatility of an underlying asset price, which may be affected differently by positive and negative information. Therefore, the fair price of option has been studied through various methods. In this research, an analytical formula for European option pricing via the TGARCH model is derived based on an Edgeworth expansion of the density of cumulative asset return. Furthermore, the accuracy of the proposed method is investigated by comparing numerical results with the GARCH model, TGARCH model, analytical approximation via the GARCH model and Monte Carlo technique. The results reveal that in the case of in the money (ITM) with (Formula presented.) the proposed method performed better than the others. The behaviour of the proposed method is also discussed. © 2020 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group.

คำสำคัญ

Edgeworth expansion, option pricing, threshold GARCH (TGARCH) model