Empirical performance of the Czech and Hungarian index options under jump

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Reihe Ökonomie / Economics Series ; No. 91

Classification and Topics

• Classification: Wirtschaft ; Model Evaluation, Validation, and Selection ; Contingent Pricing; Futures Pricing; option pricing ; Model Construction and Estimation ; Model Evaluation, Validation, and Selection
• Subject: Leptokurtosis ; poisson jump-diffusion ; GARCH ; equity index options ; Index-Futures ; Tschechisch ; Ungarisch ; Volatilität ; Zeitreihenanalyse ; Österreich

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Lee, Gabriel S. ; Boss, Michael ; Klisz, Chris
• Event: Veröffentlichung
• (who): Institute for Advanced Studies (IHS)
• (where): Vienna
• (when): 2001

Further information

• Handle: http://hdl.handle.net/10419/71238
• Last update: 10.03.2025, 11:43 AM CET