Bayesian Analysis of Options on WIG20 Index under Stochastic Volatility and Stochastic Interest Rates

Anna Pajor

Chapter 9 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2009, vol. 7, pp 127-142 from University of Lodz

Abstract: In the Chapter 9 Pajor investigates the ability of discrete-time bivariate Stochastic Volatility model to forecast the payoff function of European call options on the WIG20 index. The empirical predictions of the option payoffs with Bayesian formula are hardly informative for the purpose of option pricing and using stochastic models for interest rates (WIBOR) does not help much.

Keywords: Options on WIG20 index; Bayesian analysis; Stochastic volatility model; Stochastic interest rates model (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2009
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