Somphorn Arunsingkarat, Renato Costa, Masnita Misran, Nattakorn Phewchean, "Option Pricing under GARCH Models Applied to the SET50 Index of Thailand," WSEAS Transactions on Mathematics, vol. 20, pp. 112-121, 2021, DOI:10.37394/23206.2021.20.12
Somphorn Arunsingkarat, Renato Costa, Masnita Misran, Nattakorn Phewchean. Option Pricing under GARCH Models Applied to the SET50 Index of Thailand.
WSEAS Transactions on Mathematics. 2021;20:112-121. 10.37394/23206.2021.20.12
WSEAS Transactions on Mathematics
Print ISSN: 1109-2769, E-ISSN: 2224-2880
Volume 20, 2021
Option Pricing under GARCH Models Applied to the SET50 Index of Thailand
Authors: , , ,
Abstract: Variance changes over time and depends on historical data and previous variances; as a result, it is
useful to use a GARCH process to model it. In this paper, we use the notion of Conditional Esscher transform to
GARCH models to find the GARCH, EGARCH and GJR risk-neutral models. Subsequently, we apply these three
models to obtain option prices for the Stock Exchange of Thailand and compare to the well-known Black-Scholes
model. Findings suggest that most of the pricing options under GARCH model are the nearest to the actual prices
for SET50 option contracts with both times to maturity of 30 days and 60 days.
Pages: 112-121 WSEAS Transactions on Mathematics, ISSN / E-ISSN: 1109-2769 / 2224-2880, Volume 20, 2021, Art. #12 DOI: 10.37394/23206.2021.20.12
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