GARCH option pricing models in a South African equity context

dc.contributor.authorVenter, Pierre Johan
dc.contributor.authorMare, Eben
dc.date.accessioned2021-05-18T09:42:31Z
dc.date.available2021-05-18T09:42:31Z
dc.date.issued2020
dc.description.abstractIn this paper, different univariate GARCH option pricing models are applied to the FTSE/JSE Top 40 index to determine the best performing model when modelling the implied South African Volatility Index (SAVI). Three different GARCH models (one symmetric and two asymmetric) are considered and three different log-likelihood functions are used in the model parameter estimation. Furthermore, the accuracy of each model is tested by comparing the GARCH implied SAVI to the historical SAVI. In addition, the pricing performance of each model is tested by comparing the GARCH implied price to market option prices. The empirical results indicate that the models incorporating asymmetric effects outperform competing models in terms of pricing performance.en_ZA
dc.description.departmentMathematics and Applied Mathematicsen_ZA
dc.description.librarianam2021en_ZA
dc.description.urihttp://orion.journals.ac.zaen_ZA
dc.identifier.citationVenter, P.J. & Mare, E. 2020, 'GARCH option pricing models in a South African equity context', Orion: Operations Research in South Africa, vol. 36, no. 1, pp. 1-17.en_ZA
dc.identifier.issn0529-191X (print)
dc.identifier.issn2224-0004 (online)
dc.identifier.other10.5784/36-1-676
dc.identifier.urihttp://hdl.handle.net/2263/79942
dc.language.isoenen_ZA
dc.publisherOperations Research Society of South Africaen_ZA
dc.rights© 2020. This work is published under a Attribution CC BY license.en_ZA
dc.subjectEconometricsen_ZA
dc.subjectFinancial marketen_ZA
dc.subjectPricingen_ZA
dc.subjectStochastic processesen_ZA
dc.subjectGeneralised autoregressive conditional heteroskedasticity (GARCH)
dc.titleGARCH option pricing models in a South African equity contexten_ZA
dc.typeArticleen_ZA

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