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- W1569461986 abstract "This paper is a contribution to the vast literature on the inefficiency in the index options markets. Previous research has found that trading based on implied volatility forecasts do not generate positive profits for the S&P 500 index options but GARCH volatility forecasts do. Trading based on implied volatility forecasts for the S&P 100 index options also fail to generate profits in excess of transaction costs. This paper shows that trading based on GARCH volatility forecast generates profits in excess of transaction costs for the S&P 100 index options hence there is systematic mispricing in the S&P index options markets. GARCH models fair well due to their flexibility to incorporate asymmetric and nonlinear volatility effects. Improved pricing models should work as well or better." @default.
- W1569461986 created "2016-06-24" @default.
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- W1569461986 date "2005-01-01" @default.
- W1569461986 modified "2023-09-24" @default.
- W1569461986 title "Pricing Of S&P 100 Index Options Based On Garch Volatility Estimates" @default.
- W1569461986 hasPublicationYear "2005" @default.
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