The impact of estimation errors on the option pricing: An application of the Normal Inverse Gaussian Model to the Nordic Market - Brossura

Przytula, Patrycja; Chudzikiewicz, Natalia

Brossura

ISBN 10: 3844306048 ISBN 13: 9783844306040

Casa editrice: LAP LAMBERT Academic Publishing, 2011

Riassunto

The Normal Inverse Gaussian distribution is used as a model of logarithmic returns of index values. We use the Esscher transform and the Black Scholes formula for the option pricing. The calibration of the distribution parameters afects the calculated prices of the European call options. The basic idea is to use a point estimation and its standard errors and then test combinations when the standard errors are added or subtracted to the point estimates. The study is applied to two indexes of the OMX Nordic Market, the OMXS30 and OMXC20. Our results on these indexes show that the parameter which in?uences the option price mostly is the peakeness of the NIG distribution. The skewness parameter has the least in?uence on the pricing. The option prices based on the NIG and Esscher transform are also compared with the pricing by using Black-Scholes formula and the market prices. The results show that for the OMXS30 index the NIG assumption and the Esscher transform provide calculated prices which are closer to the market prices that the Black-Scholes prices. For the OMXC20 we obtained contrary results.

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L'autore

Patrycja Przytula and Natalia Chudzikiewicz have finished Financial Mathematics at Gda?sk University of Technology and Halmstad University. Natalia works as independent auditor of competences as she is also a master of Psychology. Patrycja finished also Personal Management studies and works as a data analyst in Thomson Reuters.

Patrycja Przytula and Natalia Chudzikiewicz have finished Financial Mathematics at Gda?sk University of Technology and Halmstad University. Natalia works as independent auditor of competences as she is also a master of Psychology. Patrycja finished also Personal Management studies and works as a data analyst in Thomson Reuters.

Dettagli dell'edizione

• Editore: LAP LAMBERT Academic Publishing
• Data di pubblicazione: 2011
• Lingua: Inglese
• ISBN 10: 3844306048
• ISBN 13: 9783844306040
• Rilegatura: Copertina flessibile
• Numero di pagine: 92
• Contatto del produttore: non disponibile
• Persona responsabile: KreGa Onlinehandel GmbH; 4950000000000; info@krega-onlinehandel.de; ; Birkenweg 31; Brakel; 33034; Germania