Gozgor, Giray and Nokay, Pinar (2011): Comparing forecast performances among volatility estimation methods in the pricing of european type currency options of USDTL and EuroTL. Published in: Journal of Money, Investment and Banking No. 19 (15. January 2011): pp. 130142.

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Abstract
By using the daily values of USDTL and EuroTL denominated European call and put option contracts, which are traded in the overthecounter 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 USDTL and EuroTL denominated callput 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 USDTL and EuroTL 
English Title:  Comparing forecast performances among volatility estimation methods in the pricing of european type currency options of USDTL and EuroTL 
Language:  English 
Keywords:  Option Pricing, European Type Vanilla Options, Historical Volatility, Volatility Estimation Models, Forecast Comparison 
Subjects:  G  Financial Economics > G1  General Financial Markets > G19  Other 
Item ID:  34369 
Depositing User:  Giray Gozgor 
Date Deposited:  28. Oct 2011 22:28 
Last Modified:  12. Oct 2015 01:24 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/34369 