University of Zimbabwe Institutional Repository

Option Pricing Model with Time-Varying Volatility

Show simple item record

dc.creator Ncube, Mthuli
dc.date.accessioned 2015-08-03T15:19:15Z
dc.date.accessioned 2015-12-08T10:55:41Z
dc.date.available 2015-08-03T15:19:15Z
dc.date.available 2015-12-08T10:55:41Z
dc.date.created 2015-08-03T15:19:15Z
dc.date.issued 1991-10
dc.identifier Ncube, M. (1991) Option Pricing Model with Time-Varying Volatility. Working Papers in Economics, October, 1991. UZ, Mt Pleasant Harare: Dept of Economics.
dc.identifier http://opendocs.ids.ac.uk/opendocs/handle/123456789/6655
dc.identifier.uri http://hdl.handle.net/10646/2289
dc.description.abstract The paper extends the option pricing model of Merlon (1973) with lime-varying volatility of the underlying security. We develop the theoretical option model. Time-varying volatility is constructed by fitting a lime-polynomial to implied volatility values where the order of the polynomial is approximated by the number of options considered. We then predict the option price one day forward and compare the results with the standard Black and Scholcs model. When applied to PT-SE 100 index European options the new model was found to be more accurate titan the Black and Scholcs. Key words: Omion. Time-Varying. Volatility, Black and Scholcs.
dc.language en
dc.publisher Department of Economics. University of Zimbabwe (UZ.)
dc.relation Working Papers in Economics;
dc.rights http://creativecommons.org/licenses/by-nc-nd/3.0/
dc.rights University of Zimbabwe (UZ)
dc.subject Development Policy
dc.subject Economic Development
dc.subject Finance
dc.title Option Pricing Model with Time-Varying Volatility
dc.type IDS Working Paper


Files in this item

Files Size Format View

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record

Search UZeScholar


Advanced Search

Browse

My Account

xmlui.statisticsGoogleAnalytics.Navigation.title