PL EN


2005 | 52 | 3 | 37-63
Article title

BAYESIAN ANALYSIS OF EUROPEAN CALL OPTION AND DELTA-NEUTRAL HEDGE USING GARCH AND CSV PROCESSES

Authors
Title variants
Languages of publication
PL
Abstracts
EN
The main goal of this article was to present an application of GARCH (Generalised Auto Regressive Conditionally Heteroscedastic) and CSV (Correlated Stochastic Volatility) processes in modelling the volatility of the daily returns of PLN/USD exchange rate and pricing the European call option for this exchange rate. The authors offer the Bayesian interpretation of commonly used methods of volatility assessment as well as predictive consequences of different volatility models. They also consider Bayesian estimation of the delta coefficient for the European call option. From the Bayesian point of view posterior distribution of delta enables to predict the cost of so called delta-neutral hedging strategy. They show the predictive distributions of the cost of this strategy as well as the cost of its managing.
Year
Volume
52
Issue
3
Pages
37-63
Physical description
Document type
ARTICLE
Contributors
author
author
  • M. Pipien, Akademia Ekonomiczna w Krakowie, Katedra Ekonometrii, ul. Rakowicka 27, 31-510 Kraków, Poland
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
05PLAAAA00451117
YADDA identifier
bwmeta1.element.803288ff-93ec-30f0-aee2-4fd131cfd98b
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