Empirical performance of three option pricing models

Detalhes bibliográficos
Autor(a) principal: Pinto, Vitor Hugo Ferreira
Data de Publicação: 2018
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10071/17877
Resumo: This thesis empirically analyses and compares the performance of three option pricing models regarding their efficiency replicating market prices. The models Black and Scholes (1973) and Merton (1973), Constant Elasticity of Variance (1975) and Heston (1993) were applied on MATLAB so financial option prices could be computed based on each one of these models. Therefore, European-style options issued on regulated market with indexes S&P 500, EURO STOXX 50 and Nikkei 225 as underlying were gathered into a sample. The main goal for this empirical study is based on concluding about the performance of each model following historical market prices of the options retrieved, under different time to maturities, kind of option and ratio underlying price/strike price. Advantages and disadvantages applying each model are detailed and discussed, as well as their individual performance. Finally, the model which shows the best overall performance will be found.
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spelling Empirical performance of three option pricing modelsOption pricing modelBlack-Scholes-Merton modelHeston modelConstant elasticity of variance modelMercado financeiroModelos matemáticosModelo de Black-ScholesThis thesis empirically analyses and compares the performance of three option pricing models regarding their efficiency replicating market prices. The models Black and Scholes (1973) and Merton (1973), Constant Elasticity of Variance (1975) and Heston (1993) were applied on MATLAB so financial option prices could be computed based on each one of these models. Therefore, European-style options issued on regulated market with indexes S&P 500, EURO STOXX 50 and Nikkei 225 as underlying were gathered into a sample. The main goal for this empirical study is based on concluding about the performance of each model following historical market prices of the options retrieved, under different time to maturities, kind of option and ratio underlying price/strike price. Advantages and disadvantages applying each model are detailed and discussed, as well as their individual performance. Finally, the model which shows the best overall performance will be found.Esta tese analisa e compara empiricamente a performance de três modelos de precificação de opções quanto à sua eficiência em replicar preços de mercado. Os modelos Black and Scholes (1973) and Merton (1973), Constant Elasticity of Variance (1975) e Heston (1993) foram aplicados no MATLAB para que o preço de opções financeiras pudesse ser calculado com base em cada um destes modelos. Assim, foram recolhidas como amostra opções de estilo europeu emitidas em mercado regulado com os índices S&P 500, EURO STOXX 50 e Nikkei 225 como ativos subjacentes. O objetivo principal deste estudo empírico baseia-se em concluir quanto à performance de cada modelo em acompanhar os preços históricos de mercado das opções recolhidas, em diferentes prazos até à maturidade, tipo de opção e rácios Preço do ativo subjacente/Valor da opção de compra. Vantagens e desvantagens na aplicação de cada modelo são detalhadas e discutidas, assim como a sua performance individual. Finalmente, será encontrado o modelo que demonstre a melhor performance geral.2019-04-17T13:23:27Z2018-11-15T00:00:00Z2018-11-152018-09info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfapplication/octet-streamhttp://hdl.handle.net/10071/17877TID:202104133engPinto, Vitor Hugo Ferreirainfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T18:00:47Zoai:repositorio.iscte-iul.pt:10071/17877Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:32:17.449505Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Empirical performance of three option pricing models
title Empirical performance of three option pricing models
spellingShingle Empirical performance of three option pricing models
Pinto, Vitor Hugo Ferreira
Option pricing model
Black-Scholes-Merton model
Heston model
Constant elasticity of variance model
Mercado financeiro
Modelos matemáticos
Modelo de Black-Scholes
title_short Empirical performance of three option pricing models
title_full Empirical performance of three option pricing models
title_fullStr Empirical performance of three option pricing models
title_full_unstemmed Empirical performance of three option pricing models
title_sort Empirical performance of three option pricing models
author Pinto, Vitor Hugo Ferreira
author_facet Pinto, Vitor Hugo Ferreira
author_role author
dc.contributor.author.fl_str_mv Pinto, Vitor Hugo Ferreira
dc.subject.por.fl_str_mv Option pricing model
Black-Scholes-Merton model
Heston model
Constant elasticity of variance model
Mercado financeiro
Modelos matemáticos
Modelo de Black-Scholes
topic Option pricing model
Black-Scholes-Merton model
Heston model
Constant elasticity of variance model
Mercado financeiro
Modelos matemáticos
Modelo de Black-Scholes
description This thesis empirically analyses and compares the performance of three option pricing models regarding their efficiency replicating market prices. The models Black and Scholes (1973) and Merton (1973), Constant Elasticity of Variance (1975) and Heston (1993) were applied on MATLAB so financial option prices could be computed based on each one of these models. Therefore, European-style options issued on regulated market with indexes S&P 500, EURO STOXX 50 and Nikkei 225 as underlying were gathered into a sample. The main goal for this empirical study is based on concluding about the performance of each model following historical market prices of the options retrieved, under different time to maturities, kind of option and ratio underlying price/strike price. Advantages and disadvantages applying each model are detailed and discussed, as well as their individual performance. Finally, the model which shows the best overall performance will be found.
publishDate 2018
dc.date.none.fl_str_mv 2018-11-15T00:00:00Z
2018-11-15
2018-09
2019-04-17T13:23:27Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10071/17877
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url http://hdl.handle.net/10071/17877
identifier_str_mv TID:202104133
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instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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