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Browse Articles by "Finance"
Title: A Kaleidoscopic Study of Pricing Performance of Stochastic Volatility Option Pricing Models: Evidence from Recent Indian Economic Turbulence
Authors: Vipul Kumar Singh, Pushkar Pachori
Issue/Year: Apr-2013
Section: Research
Abstract: This research paper empirically investigates the forecasting performance of Hull-White, Hestonís, and Heston-Nandi GARCH stochastic volatility option pricing models and ii compares them with the benchmark Black-Scholes model for pricing S&P CNX Nifty 50 index options of India. It also attempts to find out the relative performance of models with the market price. The Heston model was found to outperform and surpass other models.
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