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Finansinių aktyvų kainų stochastinio sklaidos parametro modelių tyrimas / Analysis of stovhastic volatility models in financial markets

This paper studies stochastic volatility models under the price of EUR/USD exchange rate options traded in Lithuania. Three models were considered: Hull-White, Heston and logarithmical Ornstein-Uhlenbeck stochastic volatility model.The model performance is assessed by two criteria. First, in the sample fit of each model by comparing the implied volatility pattern generated either from the market price or from stochastic volatility models prices.Second, out of sample forecast performance is tested by comparing the one-day ahead forecasting accuracy of the Black-Scholes&German-Kohlhagen model with these of the stochastic volatility models.

Identiferoai:union.ndltd.org:LABT_ETD/oai:elaba.lt:LT-eLABa-0001:E.02~2004~D_20040608_162717-93746
Date08 June 2004
CreatorsValaitytė, Akvilina
ContributorsRudzkis, Rimantas, Saulis, Leonas, Janilionis, Vytautas, Aksomaitis, Algimantas Jonas, Pilkauskas, V., Navickas, Zenonas, Pekarskas, Vidmantas Povilas, Valakevičius, E., Kaunas University of Technology
PublisherLithuanian Academic Libraries Network (LABT), Kaunas University of Technology
Source SetsLithuanian ETD submission system
LanguageLithuanian
Detected LanguageEnglish
TypeMaster thesis
Formatapplication/pdf
Sourcehttp://vddb.library.lt/obj/LT-eLABa-0001:E.02~2004~D_20040608_162717-93746
RightsUnrestricted

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