Empirical Performance Study of Alternative Option Pricing Models: An Application to the French Option Market

2003 ◽  
Author(s):  
Sofiane Aboura
Keyword(s):  
Option Pricing ◽  
Performance Study ◽  
Pricing Models ◽  
Alternative Option ◽  
Empirical Performance ◽  
Option Market

scholarly journals Empirical Performance of Alternative Option Pricing Models

1997 ◽  
Vol 52 (5) ◽  
pp. 2003-2049 ◽  
Author(s):  
Gurdip Bakshi ◽  
Charles Cao ◽  
Zhiwu Chen
Keyword(s):  
Option Pricing ◽  
Pricing Models ◽  
Alternative Option ◽  
Empirical Performance

Empirical performance of stochastic volatility option pricing models

2021 ◽  
pp. 2050056
Author(s):  
Przemyslaw S. Stilger ◽  
Ngoc Quynh Anh Nguyen ◽  
Tri Minh Nguyen
Keyword(s):  
Option Pricing ◽  
Stochastic Volatility ◽  
Implied Volatility ◽  
Model Performance ◽  
The Other ◽  
Heston Model ◽  
Pricing Models ◽  
Implied Volatility Surface ◽  
Empirical Performance ◽  
Volatility Surface

This paper examines the empirical performance of four stochastic volatility option pricing models: Heston, Heston[Formula: see text], Bates and Heston–Hull–White. To compare these models, we use individual stock options data from January 1996 to August 2014. The comparison is made with respect to pricing and hedging performance, implied volatility surface and risk-neutral return distribution characteristics, as well as performance across industries and time. We find that the Heston model outperforms the other models in terms of in-sample pricing, whereas Heston[Formula: see text] model outperforms the other models in terms of out-of-sample hedging. This suggests that taking jumps or stochastic interest rates into account does not improve the model performance after accounting for stochastic volatility. We also find that the model performance deteriorates during the crises as well as when the implied volatility surface is steep in the maturity or strike dimension.

scholarly journals An Exploratory Viewpoint on the Perspectives and Practices of Testing Alternative Option Pricing Models

2019 ◽  
Vol 8 (9S3) ◽  
pp. 1283-1287
Keyword(s):  
Option Pricing ◽  
Relative Performance ◽  
Future Research ◽  
Pricing Models ◽  
Alternative Option ◽  
New Models

This study examines the perspectives and practices of testing option pricing models, spanning over four decades of literature across prominent journals. The study reveals that the bulk of research on option pricing focuses on developing new models, than comparing relative performance of already existing models. The review has been classified as perspectives and practices in Deterministic and Stochastic Option pricing models to identify the most frequently compared Option pricing models. The review has been presented in a structured order consolidating different perspectives of testing pricing performance of Option pricing models with an objective to gain insights into the existing literature and form a base for developing future research.

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