Essays about: "Heston Nandi"

Found 4 essays containing the words Heston Nandi.

  1. 1. Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options 

    University essay from Linköpings universitet/Institutionen för ekonomisk och industriell utveckling

    Author : Nicklas Rehnby; [2017]
    Keywords : option pricing; stochastic volatility; implied volatility; GARCH; risk-neutral; characteristic functions; Gauss-Laguerre quadrature; Nelder-Mead search algorithm;

    Abstract : Derivatives have a large and significant role on the financial markets today and the popularity of options has increased. This has also increased the demand of finding a suitable option pricing model, since the ground-breaking model developed by Black & Scholes (1973) have poor pricing performance. READ MORE

  3. 2. Implementation of Heston-Nandi GARCH model on OMXS30

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Oscar Sjögren; Jakob Bengtsson Ekström; [2015]
    Keywords : Financial Crisis; Heston and Nandi; HN-GARCH; OMXS30; Option Pricing.; Business and Economics;

    Abstract : This paper evaluates the performance of Heston and Nandi’s closed form option pricing model (2000) on the OMXS30 (Swedish stock index), pre and post the financial crisis. The main purpose is to investigate if the more realistic assumptions of Heston and Nandi yield more accurate price estimates, than the computationally more simplistic Black-Scholes model. READ MORE

  4. 3. The performance of GARCH option pricing models : An empirical study on Swedish OMXS30 call options

    University essay from IHH, Economics, Finance and Statistics

    Author : Donald Harding; [2013]
    Keywords : ;

    Abstract : The purpose of this thesis is to examine the properties for different specifications of the HestonNandi GARCH option pricing model and the pricing performance on european Swedish OMXS30 call options. The sample consists of a total of 2467 options (both in-sample and out-of-sample) for 2011 and 2012, which are priced with three specifications of the HestonNandi-GARCH model and then compared to the pricing performance of the BlackScholes model. READ MORE

  5. 4. Pricing Derivatives: Implementing Heston and Nandi's (2000) Model on the Swedish Stock Index

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Bujar Huskaj; Sharlett Hanna; [2007]
    Keywords : option pricing; HN GARCH; ad hoc Black-Scholes; Black-Scholes; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : This thesis is based on Heston and Nandi’s (2000) paper. The aim is to check how their closed-form discrete-time GARCH option pricing model performs on Swedish data, and if there are any significant changes to its performance when estimating it via maximum likelihood using the Normal- and the Student-t distribution. READ MORE