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

Research Project

Project/Area Number 21530314
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Public finance/Monetary economics
Research InstitutionHosei 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 *help
¥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.

Report

(4 results)
  • 2011 Annual Research Report   Final Research Report ( PDF )
  • 2010 Annual Research Report
  • 2009 Annual Research Report

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Published: 2009-04-01   Modified: 2016-04-21  

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