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Stochastic voltility: volatility models and systematic options trading
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| 1.3 MB | Adobe PDF |
Orientador(es)
Resumo(s)
This study presents an empirical analysis on the impact of stochastic volatility on options pricing and its effect on systematic option portfolio management. Through the modelling of univariate GARCH (Generalized Autoregressive Conditional Heteroskedasticity) processes and for the period between 1990 and 2017 for the S&P 500, Russell 2000 and FTSE 100, it is possible to observe deviations from the formula presented by Black and Scholes (1973) and Merton (1973). In this sense, we try to understand how stochastic volatility affects deviations from that pricing identity and the effects on speculation portfolio management policies related to this type of derivatives contracts.
Descrição
Palavras-chave
Stochastic volatility GARCH Derivatives Portfolio management