• norsk
    • English
  • norsk 
    • norsk
    • English
  • Logg inn
Vis innførsel 
  •   Hjem
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • Vis innførsel
  •   Hjem
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • Vis innførsel
JavaScript is disabled for your browser. Some features of this site may not work without it.

An empirical application of Black and Scholes option pricing with fractional Brownian motion

Ramic, Armin; Paulshus, Ove
Master thesis
Thumbnail
Åpne
2031698.pdf (2.203Mb)
Preliminary Master thesis.pdf (893.2Kb)
Permanent lenke
http://hdl.handle.net/11250/2578065
Utgivelsesdato
2018
Metadata
Vis full innførsel
Samlinger
  • Master of Science [1116]
Sammendrag
This thesis examines the empirical properties of a fractional Black and Scholes model

developed by Röstek and Schobel. The model is tested and compared to the standard Black

and Scholes for Standard and Poor’s 500 call options in the period 10th May to 10th of July

2018. We first go through the theoretical differences of using a geometrical and a fractional

Brownian motion. We test the models using three different empirical tests, following the

methods of Bakshi, Cao & Chen (1997). The performance is measured using an in-sample

test, an out of sample test and running a dynamic delta hedging strategy over a period of 41

trading days. While testing the models, we highlight the importance of estimating the correct

Hurst value (long-term dependence) as the model becomes time dependent. We find that the

fractional Black and Scholes model is misspecified, but performs slightly better in the out of

sample test. In total, we rank the fractional equal to the geometric model.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018
Utgiver
Handelshøyskolen BI

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit
 

 

Bla i

Hele arkivetDelarkiv og samlingerUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifterDenne samlingenUtgivelsesdatoForfattereTitlerEmneordDokumenttyperTidsskrifter

Min side

Logg inn

Statistikk

Besøksstatistikk

Kontakt oss | Gi tilbakemelding

Personvernerklæring
DSpace software copyright © 2002-2019  DuraSpace

Levert av  Unit