Empirical Research of the Pricing of Shanghai 50 ETF Options Based on Volatility and Fractional B-S Model

Zhang, Hui; Sun, Chao; Meng, Wenyu

doi:10.12783/dtem/emba2019/29378

Cited by 2 publications

(2 citation statements)

References 0 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The results of this study support and are in line with the results obtained by Zhang et al (2019) where the Black Scholes model gives better results than th GARCH model for the Shanghai 50ETF index. In addition, several others study also gave the same results as those examined by Jiratumpradub & Chavanasporn (2016), Bhat & Arekar (2016) and Kaminski (2013).…”

Section: Discussionsupporting

confidence: 91%

See 1 more Smart Citation

Hedging strategy in emerging market: Application long straddle option in gold price index

Hendrawan

Akbar

Yuniarti

2020

J. Keuang. dan Perbank.

View full text Add to dashboard Cite

This research was conducted to test the implementation of gold price index option contracts using the Black Scholes and GARCH models with a long straddle strategy. The testing is done by looking at the comparison of the results of the calculation from the historical volatility value and the GARCH volatility. The results of the study are displayed by looking at the comparison of the Average Mean-square Error (AMSE) percentage values of the two models. From the research that has been done, it shows that the Black Scholes model has a better gold price index option contract than the GARCH model for maturities of 1 month, 2 months and 3 months.This is shown from the AMSE value of call options and put options in the Black Scholes model which is always smaller than the GARCH model for each contract maturity period. In addition, the potential for maximum profit by implementing the long straddle strategy in gold price index option contracts in the range of 2008-2018 is 54.98 percent with an average profit potential of around 25-30 percent. Abstrak Penelitian ini dilakukan untuk menguji implementasi kontrak opsi indeks harga emas menggunakan model Black Scholes dan GARCH dengan strategi long straddle. Pengujian dilakukan dengan melihat perbandingan hasil perhitungan dari nilai volatilitas historis dan volatilitas GARCH. Hasil penelitian ditampilkan dengan melihat perbandingan nilai persentase Average Mean-square Error (AMSE) kedua model. Dari penelitian yang telah dilakukan didapatkan hasil bahwa model Black Scholes memiliki kontrak opsi indeks harga emas yang lebih baik dari pada model GARCH untuk jangka waktu 1 bulan, 2 bulan dan 3 bulan, hal ini ditunjukkan dari nilai AMSE call options dan put option dalam model Black Scholes yang selalu lebih kecil dari model GARCH untuk setiap periode jatuh tempo kontrak. Selain itu, potensi keuntungan yang maksimal dengan menerapkan strategi long straddle pada kontrak opsi indeks harga emas pada kisaran tahun 2008-2018 adalah sebesar 54,98 persen dengan potensi keuntungan rata-rata sekitar 25-30 persen.

show abstract

Section: Discussionsupporting

confidence: 91%

“…In addition, there are also several studies that focus on the comparison of the Black Scholes and GARCH models. Zhang et al (2019) who compared the two models on the Shanghai 50ETF index. The results stated that modeling an option contract with the Black Scholes model resulted in a lower AMSE value than GARCH Model.…”

Section: Hypotheses Developmentmentioning

confidence: 99%

Hedging strategy in emerging market: Application long straddle option in gold price index

Hendrawan

Akbar

Yuniarti

2020

J. Keuang. dan Perbank.

View full text Add to dashboard Cite

show abstract

Comparison of Black-Scholes and Garch Option Models on The Kompas100 Index With a Long Straddle Strategy During 2008-2021

Hendrawan

Hasibuan

2023

J. Fin. Bank. Review

View full text Add to dashboard Cite

Objective –This study aims to look at the use of contract options through Black Scholes and GARCH modeling on the Kompas100 Index with a long straddle strategy both in crisis and non-crisis. Methodology – The data used for the observation period are the closing price of the Kompas100 Index from 2008 to 2021. The testing lasts one month (from February 2008 to December 2021), and three months (from April 2008 to December 2021). To get the results, the average mean square errors (AMSE) of the two models were compared by implementing the long straddle strategy, meaning that the model is better if the percentage number is lower. Findings – Over a one-month period during the crisis, GARCH modeling performed better than Black Scholes modeling, with an error rate of 2.5539% for call options. Meanwhile, Black Scholes’s modeling was better on put options with an error rate of 1.9725%. In the 3-month period, GARCH modeling was better, with error rates for call and put options of 10.3882% and 7.4282%, respectively. In non-crisis years, GARCH modeling beat Black Scholes modeling during a one-month period with an error rate of 0.2689%, while Black Scholes modeling was better on put options with an error rate of 0.2943%. In addition, over a 3-month period, Black Scholes modeling performs better, with error rates on call and put options of 0.8821% and 1.0337%, respectively. Novelty – The longer the agreement term, the greater the error rate in both option models. The study results revealed that the error rate for the 3-month period was higher than the 1-month period. Type of Paper: Empirical/ Review JEL Classification: G11, G13. Keywords: Option; Black Scholes; GARCH; AMSE; Long Straddle Reference to this paper should be made as follows: Hendrawan, R; Hasibuan, M.D.A. (2023). Comparison of Black-Scholes and Garch Option Models on The Kompas100 Index With a Long Straddle Strategy During 2008-2021, J. Fin. Bank. Review, 7(4), 01 – 15. https://doi.org/10.35609/jfbr.2023.7.4(1)

show abstract

Empirical Research of the Pricing of Shanghai 50 ETF Options Based on Volatility and Fractional B-S Model

Cited by 2 publications

References 0 publications

Hedging strategy in emerging market: Application long straddle option in gold price index

Hedging strategy in emerging market: Application long straddle option in gold price index

Comparison of Black-Scholes and Garch Option Models on The Kompas100 Index With a Long Straddle Strategy During 2008-2021

Contact Info

Product

Resources

About