Gozgor, Giray and Nokay, Pinar (2011): Comparing forecast performances among volatility estimation methods in the pricing of european type currency options of USD-TL and Euro-TL. Published in: Journal of Money, Investment and Banking No. 19 (15. January 2011): pp. 130-142.
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By using the daily values of USD-TL and Euro-TL denominated European call and put option contracts, which are traded in the over-the-counter market, this study investigates whether there is a significant difference among the premiums of the contracts forecasted by historical volatility, EWMA(l =0.94 andl =0.97), GARCH(1,1) and EGARCH( p, q) models. In order to test the significance of the difference among particular volatility series forecasted by these different methods, test techniques suggested by Diebold and Mariano (1995) and West (1996) are used. Accordingly, the findings indicate that the differences in the pricing of the USD-TL and Euro-TL denominated call-put option contracts are statistically significant for some volatility forecasting methods.
|Item Type:||MPRA Paper|
|Original Title:||Comparing forecast performances among volatility estimation methods in the pricing of european type currency options of USD-TL and Euro-TL|
|English Title:||Comparing forecast performances among volatility estimation methods in the pricing of european type currency options of USD-TL and Euro-TL|
|Keywords:||Option Pricing, European Type Vanilla Options, Historical Volatility, Volatility Estimation Models, Forecast Comparison|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G19 - Other|
|Depositing User:||Giray Gozgor|
|Date Deposited:||28. Oct 2011 22:28|
|Last Modified:||12. Oct 2015 01:24|
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