Sökning: "HN-GARCH"

Hittade 2 uppsatser innehållade ordet HN-GARCH.

  1. 1. Implementation of Heston-Nandi GARCH model on OMXS30

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Oscar Sjögren; Jakob Bengtsson Ekström; [2015]
    Nyckelord :Financial Crisis; Heston and Nandi; HN-GARCH; OMXS30; Option Pricing.; Business and Economics;

    Sammanfattning : This paper evaluates the performance of Heston and Nandi’s closed form option pricing model (2000) on the OMXS30 (Swedish stock index), pre and post the financial crisis. The main purpose is to investigate if the more realistic assumptions of Heston and Nandi yield more accurate price estimates, than the computationally more simplistic Black-Scholes model. LÄS MER

  3. 2. Pricing Derivatives: Implementing Heston and Nandi's (2000) Model on the Swedish Stock Index

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Bujar Huskaj; Sharlett Hanna; [2007]
    Nyckelord :option pricing; HN GARCH; ad hoc Black-Scholes; Black-Scholes; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : This thesis is based on Heston and Nandi’s (2000) paper. The aim is to check how their closed-form discrete-time GARCH option pricing model performs on Swedish data, and if there are any significant changes to its performance when estimating it via maximum likelihood using the Normal- and the Student-t distribution. LÄS MER