A Kaleidoscopic study of pricing performance of stochastic volatility option pricing models Evidence from recent Indian economic turbulence

By:

SINGH, VIPUL KUMAR

Contributor(s):

PACHOTI, PUSHKAR

Material type:

Mixed materialsPublication details: 2013Description: 61-80Subject(s):

INDIAN ECONOMIC

NLM classification:

330.954

In: VIKALPAMSummary: This research paper empirically investigates the forecasting performance of Hull-White, Heston's and heston-Nandi Garch stochastic volatility option pricing models and compares them with the benchmark Black-Scholes model for pricing S&P CNX Nifty50 indx options of India. It also attempts to find out the relative performance of models with the market price. The Heston model was found to outperform and surpass other models.

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Item type	Current library	Call number	Vol info	Status	Date due	Barcode
Periodicals/Magazines	SSCBS Library		38/2	Available		P14938

This research paper empirically investigates the forecasting performance of Hull-White, Heston's and heston-Nandi Garch stochastic volatility option pricing models and compares them with the benchmark Black-Scholes model for pricing S&P CNX Nifty50 indx options of India. It also attempts to find out the relative performance of models with the market price. The Heston model was found to outperform and surpass other models.

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