Pricing of S and P 100 index options based on GARCH volatility estimates : working papers in economics

Açıklama

This paper is a contribution to the vast literature on the inefficiency in the indexoptions markets. Previous research has found that trading based on impliedvolatility forecasts do not generate positive profits for the S&P 500 indexoptions but GARCH volatility forecasts do. Trading based on implied volatilityforecasts for the S&P 100 index options also fail to generate profits in excessof transaction costs.

Yazar Oğuş, Ayla
Yayıncı İzmir Ekonomi Üniversitesi
Basım Sayısı 1 bs.
Yayınevleri İzmir Ekonomi Üniversitesi
Yayın Tarihi 2002
Kitap Sayfa Sayısı 23
ISBN
Kaynak Türleri -
Konu Başlıkları Ekonomi ve Finans
Dil EN

Konu

 
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