Empirical Comparison of performance of alternative Option Pricing Models in Economic Crises Situaion, M.Sc. Thesis Sharif University of Technology ; Modarres Yazdi, Mohammad (Supervisor)
Abstract
In this thesis, three popular option pricing models, Black and Scholes Model, Heston Model and Bates Model are compared to each other in economic crises situation. We carry out a comparison between different option pricing models based on S&P500 Index options during 2008. First these data are classified regarding to moneyness and maturity time in nine categories and then the performance of the models, exerting two indexes, In Sample performance and Out Of Sample performance are compared in every category. To reach the prices via In Sample performance index, structural parameters of each model are estimated with the data of each day. Then, daily prices are computed by models and compared with...
Cataloging briefEmpirical Comparison of performance of alternative Option Pricing Models in Economic Crises Situaion, M.Sc. Thesis Sharif University of Technology ; Modarres Yazdi, Mohammad (Supervisor)
Abstract
In this thesis, three popular option pricing models, Black and Scholes Model, Heston Model and Bates Model are compared to each other in economic crises situation. We carry out a comparison between different option pricing models based on S&P500 Index options during 2008. First these data are classified regarding to moneyness and maturity time in nine categories and then the performance of the models, exerting two indexes, In Sample performance and Out Of Sample performance are compared in every category. To reach the prices via In Sample performance index, structural parameters of each model are estimated with the data of each day. Then, daily prices are computed by models and compared with...
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