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Lévy Process-Driven Asymmetric Heteroscedastic Option Pricing Model and Empirical Analysis
Joint Authors
Zheng, Yi
Zhang, Gaoxun
Zhang, Honglei
Xie, Xinchen
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-01-10
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
This paper describes the peak, fat tail, and skewness characteristics of asset price via a Lévy process.
It applies asymmetric GARCH model to depict asset price’s random volatility characteristics and builds a GARCH-Lévy option pricing model with random jump characteristics.
It also uses circular maximum likelihood estimation technology to improve the stability of model parameter estimation.
In order to test the model’s pricing results, we use Hong Kong Hang Seng Index (HSI) price data and its option data to carry out empirical studies.
Results prove that the pricing bias of EGARCH-Lévy model is lower than that of standard Heston-Nandi (HN) model in the financial industry.
For short-term, middle-term, and long-term European-style options, the pricing error of EGARCH-Lévy model is the lowest.
American Psychological Association (APA)
Zhang, Gaoxun& Zheng, Yi& Zhang, Honglei& Xie, Xinchen. 2018. Lévy Process-Driven Asymmetric Heteroscedastic Option Pricing Model and Empirical Analysis. Discrete Dynamics in Nature and Society،Vol. 2018, no. 2018, pp.1-8.
https://search.emarefa.net/detail/BIM-1152728
Modern Language Association (MLA)
Zhang, Gaoxun…[et al.]. Lévy Process-Driven Asymmetric Heteroscedastic Option Pricing Model and Empirical Analysis. Discrete Dynamics in Nature and Society No. 2018 (2018), pp.1-8.
https://search.emarefa.net/detail/BIM-1152728
American Medical Association (AMA)
Zhang, Gaoxun& Zheng, Yi& Zhang, Honglei& Xie, Xinchen. Lévy Process-Driven Asymmetric Heteroscedastic Option Pricing Model and Empirical Analysis. Discrete Dynamics in Nature and Society. 2018. Vol. 2018, no. 2018, pp.1-8.
https://search.emarefa.net/detail/BIM-1152728
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1152728