Publication: Option pricing under GARCH models applied to the SET50 index of Thailand
Issued Date
2021-01-01
Resource Type
ISSN
22242880
11092769
11092769
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2-s2.0-85104636632
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Mahidol University
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SCOPUS
Bibliographic Citation
WSEAS Transactions on Mathematics. Vol.20, (2021), 112-121
Suggested Citation
Somphorn Arunsingkarat, Renato Costa, Masnita Misran, Nattakorn Phewchean Option pricing under GARCH models applied to the SET50 index of Thailand. WSEAS Transactions on Mathematics. Vol.20, (2021), 112-121. doi:10.37394/23206.2021.20.12 Retrieved from: https://repository.li.mahidol.ac.th/handle/20.500.14594/76765
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Title
Option pricing under GARCH models applied to the SET50 index of Thailand
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Abstract
Variance changes over time and depends on historical data and previous variances; as a result, it is useful to use a GARCH process to model it. In this paper, we use the notion of Conditional Esscher transform to GARCH models to find the GARCH, EGARCH and GJR risk-neutral models. Subsequently, we apply these three models to obtain option prices for the Stock Exchange of Thailand and compare to the well-known Black-Scholes model. Findings suggest that most of the pricing options under GARCH model are the nearest to the actual prices for SET50 option contracts with both times to maturity of 30 days and 60 days.