Publication:
Option pricing under GARCH models applied to the SET50 index of Thailand

Simple item page
dc.contributor.authorSomphorn Arunsingkaraten_US
dc.contributor.authorRenato Costaen_US
dc.contributor.authorMasnita Misranen_US
dc.contributor.authorNattakorn Phewcheanen_US
dc.contributor.otherMahidol Universityen_US
dc.contributor.otherUniversiti Utara Malaysiaen_US
dc.contributor.otherCentre of Excellence in Mathematicsen_US
dc.date.accessioned2022-08-04T08:29:57Z
dc.date.available2022-08-04T08:29:57Z
dc.date.issued2021-01-01en_US
dc.description.abstractVariance 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.en_US
dc.identifier.citationWSEAS Transactions on Mathematics. Vol.20, (2021), 112-121en_US
dc.identifier.doi10.37394/23206.2021.20.12en_US
dc.identifier.issn22242880en_US
dc.identifier.issn11092769en_US
dc.identifier.other2-s2.0-85104636632en_US
dc.identifier.urihttps://repository.li.mahidol.ac.th/handle/20.500.14594/76765
dc.rightsMahidol Universityen_US
dc.rights.holderSCOPUSen_US
dc.source.urihttps://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85104636632&origin=inwarden_US
dc.subjectDecision Sciencesen_US
dc.subjectMathematicsen_US
dc.subjectMedicineen_US
dc.titleOption pricing under GARCH models applied to the SET50 index of Thailanden_US
dc.typeArticleen_US
dspace.entity.typePublication
mu.datasource.scopushttps://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85104636632&origin=inwarden_US

Files

Collections

Scopus 2021