Αποτίμηση ευρωπαϊκών δικαιωμάτων προαίρεσης υπό στοχαστικά επιτόκια
European options pricing subject to stochastic interest rates
View/
Keywords
Ευρωπαϊκό δικαίωμα προαίρεσης ; Αποτίμηση δικαιωμάτων μετοχών ; Εμπειρική μελέτη ; Μοντέλο Black Scholes ; Χρονική διάρθρωση επιτοκίων ; Στοχαστικό επιτόκιο ; Μοντέλο Vasicek ; Μοντέλο CIR ; Αλγόριθμος Levenberg - Marquardt ; Προβλεπτική ικανότητα ; European plain vanilla option ; Valuation of stock options ; Empirical study ; Black - Scholes Model ; Time structure of interest rates ; Vasicek model ; CIR model ; Levenberg - Marquardt algorithm ; Forecasting abilityAbstract
This paper refers to the pricing of the plain vanilla European type options in current market conditions under negative and approximately zero interest rates.
To begin with, the benchmark historical incidents related to the notion of options along with main definitions are presented. In addition, the economic background that the underlying asset lies in is explained, as it arises doubts regarding possible deviations from the fair pricing. Next, provided the theoretical framework of the Black-Scholes (1973) model applying constant interest rate until the expiry of the option, the generalization under one factor gaussian stochastic process of short interest rate adopting the Vasicek (1977) term structure, which incorporates the Merton (1973) one as well, is derived. Furthermore, each model’s robustness is examined by contrasting them in past time under positive rates, where the Cox-Ingersoll-Ross (CIR)(1985) model is introduced for extra analysis. The estimation of the models’ parameters is realized through Matlab by calibration in sample and out of sample, using 24 call options in total which consist of different maturities and strikes on the German stock Deutsche Telekom.
Based on the above, it is concluded whether the stochasticity of the interest rate improves the accuracy of the actual market price approximation in comparison to the constant model, counting the time-to-maturity factor separately, with the findings contributing to the existent bibliography.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική και Τραπεζική ΔιοικητικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
124Language
Greek
Except where otherwise noted, this item's license is described as
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές