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.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0630103-230213 |
| Date | 30 June 2003 |
| Creators | Hsing, Shih-Pei |
| Contributors | Mong-Na Lo Huang, Chingnun Lee, Mei-Hui Guo |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0630103-230213 |
| Rights | unrestricted, Copyright information available at source archive |
Page generated in 0.0107 seconds