An extension of the GARCH option pricing model : theory and empirical analysis

• Project/Area Number: 21530314
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Single-year Grants
• Section: 一般
• Research Field: Public finance/Monetary economics
• Research Institution: Hosei University
• Principal Investigator: KIM Yong-jin 法政大学, 経営学部, 教授 (80326008)
• Project Period (FY): 2009 – 2011
• Project Status: Completed (Fiscal Year 2011)
• Budget Amount: ¥2,600,000 (Direct Cost: ¥2,000,000、Indirect Cost: ¥600,000); Fiscal Year 2011: ¥650,000 (Direct Cost: ¥500,000、Indirect Cost: ¥150,000); Fiscal Year 2010: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000); Fiscal Year 2009: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
• Keywords: オプション価格付け / GARCH過程 / 非正規分布 / S & P500株価指数オプション / S&P500株価指数オプション / オプション価格

Research Abstract

The purpose of this paper is to recapitulate the previous theoretical achievements on the GARCH option pricing with conditional non-normality in a unified framework and provide the empirical evidence that incorporating the exponential generalized beta distribution of the second(EGB2) innovation in lieu of the normal innovation contributes to the improvement of pricing performance. We confirm the empirical relevance of the NGARCH-EGB2 option pricing model, using the S & P 500 index options data on every Wednesday from January 2, 2002 to December 27, 2006.