The performance of GARCH option pricing models : An empirical study on Swedish OMXS30 call options
The purpose of this thesis is to examine the properties for different specifications of the HestonNandi GARCH option pricing model and the pricing performance on european Swedish OMXS30 call options. The sample consists of a total of 2467 options (both in-sample and out-of-sample) for 2011 and 2012,...
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| Format: | Others |
| Language: | English |
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Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Economics, Finance and Statistics
2013
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-21686 |