Option Pricing Models with HF Data: An Application of the Black Model to the WIG20 Index

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In this paper, we compared several Black option pricing models by applying different measures of volatility and examined the Black model with historical (BHV), implied (BIV), and several different types of realized (BRV) volatility. The main objective of the study was to find the best model; that is...

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Detalles Bibliográficos
Autores: Kokoszczynski, Ryszard, Sakowski, Paweł, Ślepaczuk, Robert
Formato: artículo
Fecha de Publicación:2012
Institución:Pontificia Universidad Católica del Perú
Repositorio:PUCP-Institucional
Lenguaje:inglés
OAI Identifier:oai:repositorio.pucp.edu.pe:20.500.14657/194805
Enlace del recurso:https://repositorio.pucp.edu.pe/index/handle/123456789/194805
Nivel de acceso:acceso abierto
Materia:Warsaw Stock Exchange
Emerging markets
Financial market volatility
High frequency financial data
Implied volatility
Microstructure bias
Option pricing models
Realized volatility
https://purl.org/pe-repo/ocde/ford#5.02.04
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spelling Kokoszczynski, RyszardSakowski, PawełŚlepaczuk, Robert2023-07-21T19:18:17Z2023-07-21T19:18:17Z2012https://repositorio.pucp.edu.pe/index/handle/123456789/194805In this paper, we compared several Black option pricing models by applying different measures of volatility and examined the Black model with historical (BHV), implied (BIV), and several different types of realized (BRV) volatility. The main objective of the study was to find the best model; that is, the model that predicts the actual market price with the minimum error. The high frequency (HF) data and bid-ask quotes (instead of transactional data) for the Warsaw Stock Exchange (WSE) were used to omit the problem of nonsynchronous trading and to increase the number of observations. Several error statistics and the percentage of price overpredictions (OP) showed the results that confirmed the initial intuition that the BIV model is the best model, the BHV model is the second best, and the BRV is the least efficient among the models studied.engPontificia Universidad Católica del Perú. CENTRUMPEurn:issn:1851-6599info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by/4.0Journal of CENTRUM Cathedra, Vol. 5, Issue 1reponame:PUCP-Institucionalinstname:Pontificia Universidad Católica del Perúinstacron:PUCPWarsaw Stock ExchangeEmerging marketsFinancial market volatilityHigh frequency financial dataImplied volatilityMicrostructure biasOption pricing modelsRealized volatilityhttps://purl.org/pe-repo/ocde/ford#5.02.04Option Pricing Models with HF Data: An Application of the Black Model to the WIG20 Indexinfo:eu-repo/semantics/articleArtículoORIGINALJCC-5.1-68.pdfJCC-5.1-68.pdfTexto completoapplication/pdf2163790https://repositorio.pucp.edu.pe/bitstreams/06c8f6bf-d02a-4fc3-86a1-6d60af076122/download94e944d2bc0dacd06c32a3ddb2210d7bMD51trueAnonymousREADTHUMBNAILJCC-5.1-68.pdf.jpgJCC-5.1-68.pdf.jpgIM Thumbnailimage/jpeg25902https://repositorio.pucp.edu.pe/bitstreams/2a8e258f-3d69-4763-8202-d50bd6cf83ca/download721ba593fa9cabd16800f7b476556428MD52falseAnonymousREAD20.500.14657/194805oai:repositorio.pucp.edu.pe:20.500.14657/1948052025-04-11 09:58:18.825http://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessopen.accesshttps://repositorio.pucp.edu.peRepositorio Institucional de la PUCPrepositorio@pucp.pe
dc.title.en_US.fl_str_mv Option Pricing Models with HF Data: An Application of the Black Model to the WIG20 Index
title Option Pricing Models with HF Data: An Application of the Black Model to the WIG20 Index
spellingShingle Option Pricing Models with HF Data: An Application of the Black Model to the WIG20 Index
Kokoszczynski, Ryszard
Warsaw Stock Exchange
Emerging markets
Financial market volatility
High frequency financial data
Implied volatility
Microstructure bias
Option pricing models
Realized volatility
https://purl.org/pe-repo/ocde/ford#5.02.04
title_short Option Pricing Models with HF Data: An Application of the Black Model to the WIG20 Index
title_full Option Pricing Models with HF Data: An Application of the Black Model to the WIG20 Index
title_fullStr Option Pricing Models with HF Data: An Application of the Black Model to the WIG20 Index
title_full_unstemmed Option Pricing Models with HF Data: An Application of the Black Model to the WIG20 Index
title_sort Option Pricing Models with HF Data: An Application of the Black Model to the WIG20 Index
author Kokoszczynski, Ryszard
author_facet Kokoszczynski, Ryszard
Sakowski, Paweł
Ślepaczuk, Robert
author_role author
author2 Sakowski, Paweł
Ślepaczuk, Robert
author2_role author
author
dc.contributor.author.fl_str_mv Kokoszczynski, Ryszard
Sakowski, Paweł
Ślepaczuk, Robert
dc.subject.en_US.fl_str_mv Warsaw Stock Exchange
Emerging markets
Financial market volatility
High frequency financial data
Implied volatility
Microstructure bias
Option pricing models
Realized volatility
topic Warsaw Stock Exchange
Emerging markets
Financial market volatility
High frequency financial data
Implied volatility
Microstructure bias
Option pricing models
Realized volatility
https://purl.org/pe-repo/ocde/ford#5.02.04
dc.subject.ocde.none.fl_str_mv https://purl.org/pe-repo/ocde/ford#5.02.04
description In this paper, we compared several Black option pricing models by applying different measures of volatility and examined the Black model with historical (BHV), implied (BIV), and several different types of realized (BRV) volatility. The main objective of the study was to find the best model; that is, the model that predicts the actual market price with the minimum error. The high frequency (HF) data and bid-ask quotes (instead of transactional data) for the Warsaw Stock Exchange (WSE) were used to omit the problem of nonsynchronous trading and to increase the number of observations. Several error statistics and the percentage of price overpredictions (OP) showed the results that confirmed the initial intuition that the BIV model is the best model, the BHV model is the second best, and the BRV is the least efficient among the models studied.
publishDate 2012
dc.date.accessioned.none.fl_str_mv 2023-07-21T19:18:17Z
dc.date.available.none.fl_str_mv 2023-07-21T19:18:17Z
dc.date.issued.fl_str_mv 2012
dc.type.none.fl_str_mv info:eu-repo/semantics/article
dc.type.other.none.fl_str_mv Artículo
format article
dc.identifier.uri.none.fl_str_mv https://repositorio.pucp.edu.pe/index/handle/123456789/194805
url https://repositorio.pucp.edu.pe/index/handle/123456789/194805
dc.language.iso.none.fl_str_mv eng
language eng
dc.relation.ispartof.none.fl_str_mv urn:issn:1851-6599
dc.rights.es_ES.fl_str_mv info:eu-repo/semantics/openAccess
dc.rights.uri.*.fl_str_mv http://creativecommons.org/licenses/by/4.0
eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by/4.0
dc.publisher.none.fl_str_mv Pontificia Universidad Católica del Perú. CENTRUM
dc.publisher.country.none.fl_str_mv PE
publisher.none.fl_str_mv Pontificia Universidad Católica del Perú. CENTRUM
dc.source.es_ES.fl_str_mv Journal of CENTRUM Cathedra, Vol. 5, Issue 1
dc.source.none.fl_str_mv reponame:PUCP-Institucional
instname:Pontificia Universidad Católica del Perú
instacron:PUCP
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Option Pricing Models with HF Data: An Application of the Black Model to the WIG20 Index
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