Title page for etd-0630103-230213


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URN etd-0630103-230213
Author Shih-Pei Hsing
Author's Email Address m9024601@student.nsysu.edu.tw
Statistics This thesis had been viewed 5064 times. Download 3815 times.
Department Applied Mathematics
Year 2002
Semester 2
Degree Master
Type of Document
Language English
Title Comparison of Hedging Option Positions of the GARCH(1,1) and the Black-Scholes Models
Date of Defense 2003-06-06
Page Count 45
Keyword
  • Delta hedging
  • Black-Scholes model
  • Option pricing
  • Monte Carlo simulation
  • Implied volatility
  • GARCH(1-1) model
  • Abstract This article examines the hedging positions derived from the Black-Scholes(B-S) model
    and the GARCH(1,1) models, respectively, when the log returns of underlying asset exhibits
    GARCH(1,1) process.
    The result shows that Black-Scholes and GARCH options deltas, one of the hedging
    parameters, are similar for near-the-money options, and Black-Scholes options delta is
    higher then GARCH delta in absolute terms when the options are deep out-of-money, and
    Black-Scholes options delta is lower then GARCH delta in absolute terms when the options
    are deep in-the-money.
    Simulation study of hedging procedure of GARCH(1,1) and B-S models are performed,
    which also support the above findings.
    Advisory Committee
  • Mong-Na Lo Huang - chair
  • Chingnun Lee - co-chair
  • Mei-Hui Guo - advisor
  • Files
  • etd-0630103-230213.pdf
  • indicate access worldwide
    Date of Submission 2003-06-30

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