Pricing the WIG20 Index Options Using GARCH Models

Piotr Fiszeder ()

Chapter 10 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2010, vol. 8, pp 141-156 from University of Lodz

Abstract: In Chapter 10, Fiszeder focused on the pricing of the WIG20 index options using GARCH models. It was concluded that option valuations based on GARCH models are more accurate than those based on the traditional B-S model. The application of the GARCH model could explain most pricing biases of the B-S model in the testing period.

Keywords: WIG20 index options; GARCH Model (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2010
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