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Option Pricing Using Realized Volatility and ARCH Type Models
http://hdl.handle.net/10086/17347
http://hdl.handle.net/10086/17347456a42e8-8a7d-4f29-9bc5-c9d15961810d
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
gd09-066.pdf (581942 bytes)
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| アイテムタイプ | デフォルトアイテムタイプ（フル）その２(1) | |||||||||||||||||
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| 公開日 | 2017-05-20 | |||||||||||||||||
| タイトル | ||||||||||||||||||
| タイトル | Option Pricing Using Realized Volatility and ARCH Type Models | |||||||||||||||||
| 言語 | en | |||||||||||||||||
| 作成者 |
渡部, 敏明
× 渡部, 敏明
NRID
1000090254135
× 生方, 雅人
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| 寄与者 | ||||||||||||||||||
| 寄与者タイプ | Editor | |||||||||||||||||
| 姓名 | 社会科学の高度統計・実証分析拠点構築 = Research Unit for Statistical and Empirical Analysis in Social Sciences | |||||||||||||||||
| 言語 | en | |||||||||||||||||
| アクセス権 | ||||||||||||||||||
| アクセス権 | open access | |||||||||||||||||
| アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||||||||||||
| 主題 | ||||||||||||||||||
| 主題Scheme | Other | |||||||||||||||||
| 主題 | ARFIMA | |||||||||||||||||
| 主題 | ||||||||||||||||||
| 主題Scheme | Other | |||||||||||||||||
| 主題 | GARCH | |||||||||||||||||
| 主題 | ||||||||||||||||||
| 主題Scheme | Other | |||||||||||||||||
| 主題 | Microstructure Noise | |||||||||||||||||
| 主題 | ||||||||||||||||||
| 主題Scheme | Other | |||||||||||||||||
| 主題 | Option | |||||||||||||||||
| 主題 | ||||||||||||||||||
| 主題Scheme | Other | |||||||||||||||||
| 主題 | Realized Volatility | |||||||||||||||||
| 内容記述 | ||||||||||||||||||
| 内容記述タイプ | Abstract | |||||||||||||||||
| 内容記述 | This article analyzes whether daily realized volatility, which is the sum of squared intraday returns over a day, is useful for option pricing. Different realized volatilities are calculated with or without taking account of microstructure noise and with or without using overnight and lunch-time returns. The both ARFIMA and ARFIMAX models are employed to specify the dynamics of realized volatility. The former can capture the long-memory property and the latter can also capture the asymmetry in volatility depending on the sign of previous day's return. Option prices are derived under the assumption of risk-neutrality. For comparison, GARCH, EGARCH, and FIEGARCH models are estimated using daily returns, where option prices are derived by assuming the risk-neutrality and by using the Duan (1995) method in which the assumption of risk-neutrality is relaxed. Main results using the Nikkei 225 stock index and its put options prices are: (1) the ARFIMAX model with daily realized volatility performs best, (2) applying the Bartlett adjustment to the calculation of realized volatility to take account of microstructure noise does not improve the performance while the Hansen and Lunde (2005a) adjustment without using overnight and lunch-time returns improves the performance, and (3) the Duan (1995) method does not improve the performance compared with assuming the risk neutrality. | |||||||||||||||||
| 言語 | en | |||||||||||||||||
| 出版者 | ||||||||||||||||||
| 出版者 | Institute of Economic Research, Hitotsubashi University | |||||||||||||||||
| 日付 | ||||||||||||||||||
| 日付 | 2009-04 | |||||||||||||||||
| 日付タイプ | Issued | |||||||||||||||||
| 言語 | ||||||||||||||||||
| 言語 | eng | |||||||||||||||||
| 資源タイプ | ||||||||||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||||||||||||||
| 資源タイプ | technical report | |||||||||||||||||
| 出版タイプ | ||||||||||||||||||
| 出版タイプ | VoR | |||||||||||||||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||||||||||||
| 関連情報 | ||||||||||||||||||
| 関連タイプ | isPartOf | |||||||||||||||||
| 関連名称 | Global COE Hi-Stat Discussion Paper Series ; No. 66 | |||||||||||||||||
| ページ数 | ||||||||||||||||||
| ページ数 | 24 | |||||||||||||||||
| Sponsorship | ||||||||||||||||||
| 値 | グローバルCOEプログラム = Global COE Program | |||||||||||||||||
| JEL | ||||||||||||||||||
| 値 | C22 | |||||||||||||||||
| JEL | ||||||||||||||||||
| 値 | C52 | |||||||||||||||||
| JEL | ||||||||||||||||||
| 値 | G13 | |||||||||||||||||
