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  • 标题:Empirical Performance of Option Pricing Models: Evidence from India
  • 本地全文:下载
  • 作者:Vipul Kumar Singh
  • 期刊名称:International Journal of Economics and Finance
  • 印刷版ISSN:1916-971X
  • 电子版ISSN:1916-9728
  • 出版年度:2013
  • 卷号:5
  • 期号:2
  • 页码:141
  • DOI:10.5539/ijef.v5n2p141
  • 出版社:Canadian Center of Science and Education
  • 摘要:

    This paper empirically investigates the comparative competitiveness of the family of option pricing models categorized as deterministic and stochastic. Forecasting effectiveness of the models is judged on the basis of pricing accuracy of the models. For same this paper categorically examine the out-of-sample moneyness-maturity forecasting performance of models. Data set of Nifty index options of India is especially chosen for analyzing the effectiveness of models. Pricing imperfections of models is compare and contrasted with the market price of the options. Cross competitiveness of the models is empirically testifies with the benchmark Black-Scholes but relative to market using well-known technique of error metrics. Expected price of the models inferred analytically by estimating the parameters of the models continuously, almost every day. The models are inter-pass through the recent waves of financial upheavals and has been put into a practical implication of fastest descending movement of Indian capital market. We found that the Practitioner Black-Scholes and Heston model has smaller out of sample valuation errors in pricing Nifty Index options than the Constant Elasticity of Variance, Gram-Charlier, and Hull & Whit models, but no models eliminates price bias completely.

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