Option pricing under GARCH models applied to the SET50 index of Thailand

Option pricing under GARCH models applied to the SET50 index of Thailand

Variance changes over time and depends on historical data and previous variances; as a result, it is useful to use a GARCH process to model it. In this paper, we use the notion of Conditional Esscher transform to GARCH models to find the GARCH, EGARCH and GJR risk-neutral models. Subsequently, we ap...

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Main Authors: Somphorn Arunsingkarat, Renato Costa, Masnita Misran, Nattakorn Phewchean
Other Authors: Mahidol University
Format: Article
Published: 2022
Subjects:
Decision Sciences
Mathematics
Medicine
Online Access:https://repository.li.mahidol.ac.th/handle/123456789/76765
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spelling th-mahidol.767652022-08-04T18:10:14Z Option pricing under GARCH models applied to the SET50 index of Thailand Somphorn Arunsingkarat Renato Costa Masnita Misran Nattakorn Phewchean Mahidol University Universiti Utara Malaysia Centre of Excellence in Mathematics Decision Sciences Mathematics Medicine Variance changes over time and depends on historical data and previous variances; as a result, it is useful to use a GARCH process to model it. In this paper, we use the notion of Conditional Esscher transform to GARCH models to find the GARCH, EGARCH and GJR risk-neutral models. Subsequently, we apply these three models to obtain option prices for the Stock Exchange of Thailand and compare to the well-known Black-Scholes model. Findings suggest that most of the pricing options under GARCH model are the nearest to the actual prices for SET50 option contracts with both times to maturity of 30 days and 60 days. 2022-08-04T08:29:57Z 2022-08-04T08:29:57Z 2021-01-01 Article WSEAS Transactions on Mathematics. Vol.20, (2021), 112-121 10.37394/23206.2021.20.12 22242880 11092769 2-s2.0-85104636632 https://repository.li.mahidol.ac.th/handle/123456789/76765 Mahidol University SCOPUS https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85104636632&origin=inward
institution Mahidol University
building Mahidol University Library
continent Asia
country Thailand
Thailand
content_provider Mahidol University Library
collection Mahidol University Institutional Repository
topic Decision Sciences
Mathematics
Medicine
spellingShingle Decision Sciences
Mathematics
Medicine
Somphorn Arunsingkarat
Renato Costa
Masnita Misran
Nattakorn Phewchean
Option pricing under GARCH models applied to the SET50 index of Thailand
description Variance changes over time and depends on historical data and previous variances; as a result, it is useful to use a GARCH process to model it. In this paper, we use the notion of Conditional Esscher transform to GARCH models to find the GARCH, EGARCH and GJR risk-neutral models. Subsequently, we apply these three models to obtain option prices for the Stock Exchange of Thailand and compare to the well-known Black-Scholes model. Findings suggest that most of the pricing options under GARCH model are the nearest to the actual prices for SET50 option contracts with both times to maturity of 30 days and 60 days.
author2 Mahidol University
author_facet Mahidol University
Somphorn Arunsingkarat
Renato Costa
Masnita Misran
Nattakorn Phewchean
format Article
author Somphorn Arunsingkarat
Renato Costa
Masnita Misran
Nattakorn Phewchean
author_sort Somphorn Arunsingkarat
title Option pricing under GARCH models applied to the SET50 index of Thailand
title_short Option pricing under GARCH models applied to the SET50 index of Thailand
title_full Option pricing under GARCH models applied to the SET50 index of Thailand
title_fullStr Option pricing under GARCH models applied to the SET50 index of Thailand
title_full_unstemmed Option pricing under GARCH models applied to the SET50 index of Thailand
title_sort option pricing under garch models applied to the set50 index of thailand
publishDate 2022
url https://repository.li.mahidol.ac.th/handle/123456789/76765
_version_ 1763487256157356032

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