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Contribution Details
Type | Master's Thesis |
Scope | Discipline-based scholarship |
Title | An Empirical Study of the COMFORT Option Pricing |
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Institution | University of Zurich |
Faculty | Faculty of Business, Economics and Informatics |
Number of Pages | 35 |
Date | 2023 |
Abstract Text | Based on the data of S&P 500 index from 2008-04-01 to 2022-12-30, four different models, namely Black-Scholes, Variance-Gamma (VG), GARCH, and COMFORT-GARCH models are employed to make options pricing, and the pricing quality of these models are compared. The results show that the COMFORT-GARCH model combines GARCH-type dynamics with an SV structure, it can better capture the volatility characteristics of S&P 500 index, yields a more stable price change with a smaller magnitude. The research confirms the applicability of COMFORT-GARCH model in the multivariate setting for potentially large numbers of assets. |
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