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The impact of estimation errors on the option pricing: An application of the Normal Inverse Gaussian Model to the Nordic Market - Softcover
Synopsis
The Normal Inverse Gaussian distribution is used as a model of logarithmic returns of index values. We use the Esscher transform and the Black Scholes formula for the option pricing. The calibration of the distribution parameters afects the calculated prices of the European call options. The basic idea is to use a point estimation and its standard errors and then test combinations when the standard errors are added or subtracted to the point estimates. The study is applied to two indexes of the OMX Nordic Market, the OMXS30 and OMXC20. Our results on these indexes show that the parameter which in?uences the option price mostly is the peakeness of the NIG distribution. The skewness parameter has the least in?uence on the pricing. The option prices based on the NIG and Esscher transform are also compared with the pricing by using Black-Scholes formula and the market prices. The results show that for the OMXS30 index the NIG assumption and the Esscher transform provide calculated prices which are closer to the market prices that the Black-Scholes prices. For the OMXC20 we obtained contrary results.
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About the Author
Patrycja Przytula and Natalia Chudzikiewicz have finished Financial Mathematics at Gda?sk University of Technology and Halmstad University. Natalia works as independent auditor of competences as she is also a master of Psychology. Patrycja finished also Personal Management studies and works as a data analyst in Thomson Reuters.
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The impact of estimation errors on the option pricing
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LAP LAMBERT Academic Publishing Feb 2011, 2011
ISBN 10: 3844306048
ISBN 13: 9783844306040
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -The Normal Inverse Gaussian distribution is used as a model of logarithmic returns of index values. We use the Esscher transform and the Black Scholes formula for the option pricing. The calibration of the distribution parameters afects the calculated prices of the European call options. The basic idea is to use a point estimation and its standard errors and then test combinations when the standard errors are added or subtracted to the point estimates. The study is applied to two indexes of the OMX Nordic Market, the OMXS30 and OMXC20. Our results on these indexes show that the parameter which in uences the option price mostly is the peakeness of the NIG distribution. The skewness parameter has the least in uence on the pricing. The option prices based on the NIG and Esscher transform are also compared with the pricing by using Black-Scholes formula and the market prices. The results show that for the OMXS30 index the NIG assumption and the Esscher transform provide calculated prices which are closer to the market prices that the Black-Scholes prices. For the OMXC20 we obtained contrary results. 92 pp. Englisch. Seller Inventory # 9783844306040
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The impact of estimation errors on the option pricing
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ISBN 10: 3844306048
ISBN 13: 9783844306040
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Przytula PatrycjaPatrycja Przytula and Natalia Chudzikiewicz have finished Financial Mathematics at Gdansk University of Technology and Halmstad University. Natalia works as independent auditor of competences as she is also a mas. Seller Inventory # 5471093
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The impact of estimation errors on the option pricing
Published by
LAP LAMBERT Academic Publishing Feb 2011, 2011
ISBN 10: 3844306048
ISBN 13: 9783844306040
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Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germany
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Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -The Normal Inverse Gaussian distribution is used as a model of logarithmic returns of index values. We use the Esscher transform and the Black Scholes formula for the option pricing. The calibration of the distribution parameters afects the calculated prices of the European call options. The basic idea is to use a point estimation and its standard errors and then test combinations when the standard errors are added or subtracted to the point estimates. The study is applied to two indexes of the OMX Nordic Market, the OMXS30 and OMXC20. Our results on these indexes show that the parameter which in¿uences the option price mostly is the peakeness of the NIG distribution. The skewness parameter has the least in¿uence on the pricing. The option prices based on the NIG and Esscher transform are also compared with the pricing by using Black-Scholes formula and the market prices. The results show that for the OMXS30 index the NIG assumption and the Esscher transform provide calculated prices which are closer to the market prices that the Black-Scholes prices. For the OMXC20 we obtained contrary results.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 92 pp. Englisch. Seller Inventory # 9783844306040
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The impact of estimation errors on the option pricing : An application of the Normal Inverse Gaussian Model to the Nordic Market
Published by
LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3844306048
ISBN 13: 9783844306040
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Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - The Normal Inverse Gaussian distribution is used as a model of logarithmic returns of index values. We use the Esscher transform and the Black Scholes formula for the option pricing. The calibration of the distribution parameters afects the calculated prices of the European call options. The basic idea is to use a point estimation and its standard errors and then test combinations when the standard errors are added or subtracted to the point estimates. The study is applied to two indexes of the OMX Nordic Market, the OMXS30 and OMXC20. Our results on these indexes show that the parameter which in uences the option price mostly is the peakeness of the NIG distribution. The skewness parameter has the least in uence on the pricing. The option prices based on the NIG and Esscher transform are also compared with the pricing by using Black-Scholes formula and the market prices. The results show that for the OMXS30 index the NIG assumption and the Esscher transform provide calculated prices which are closer to the market prices that the Black-Scholes prices. For the OMXC20 we obtained contrary results. Seller Inventory # 9783844306040
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The impact of estimation errors on the option pricing | An application of the Normal Inverse Gaussian Model to the Nordic Market
Published by
LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3844306048
ISBN 13: 9783844306040
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Taschenbuch. Condition: Neu. The impact of estimation errors on the option pricing | An application of the Normal Inverse Gaussian Model to the Nordic Market | Patrycja Przytula (u. a.) | Taschenbuch | 92 S. | Englisch | 2011 | LAP LAMBERT Academic Publishing | EAN 9783844306040 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. Seller Inventory # 107108813
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