Empirical Performance of the Czech and Hungarian Index Options under Jump

Lee, Gabriel S.; Boss, Michael and Klisz, Chris (January 2001) Empirical Performance of the Czech and Hungarian Index Options under Jump. Closed Series > Working Paper Series > IHS Economics Series 91

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Abstract or Table of Contents

Abstract: This paper analyses Czech and Hungarian index options that are traded on the Austrian Futures and Options Exchange. We find that the Poisson jump-diffusion and not the GARCH (1,1) process lends statistical support for the data description.We estimate that approximately four-fifth of 4 percent underpricing (for the Czech Index) and 18 percent overpricing (for the Hungarian Index) biases reported for the short term out-of-the-money call options can be explained by the Jump option pricing model. However, we question whether the mispricings from the jump model are operational, especially, in these emerging financial markets.;

Item Type: IHS Series
Keywords: 'Leptokurtosis' 'Poisson jump-diffusion' 'GARCH' 'Equity index options'
Classification Codes (e.g. JEL): C52, G13, C51, C52
Status: Published
Date Deposited: 26 Sep 2014 10:37
Last Modified: 01 Mar 2019 17:42
ISBN: 1605-7996
URI: https://irihs.ihs.ac.at/id/eprint/1317

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