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首页> 外文期刊>International Journal of Data Science and Analysis >Valuation of European Call Options Using Wavelet-Based Pricing Model and Black-Scholes Pricing Model
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Valuation of European Call Options Using Wavelet-Based Pricing Model and Black-Scholes Pricing Model

机译：使用基于小波的定价模型和Black-Scholes定价模型对欧式看涨期权进行估值

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摘要

The Black- Scholes model is a well-known model for hedging and pricing derivative securities. However, it exhibits some systematic biases or unrealistic assumptions like the log-normality of asset returns and constant volatility. A number of studies have attempted to reduce these biases in different ways. The objective of this study is to value a European call option using a non-parametric model and a parametric model. Amongst the non-parametric approaches used to improve the accuracy of the model in this study is the Wavelet-based pricing model. This model is found as promising alternative as far as pricing of European options is concerned, due to its varied volatility of the underlying security and estimation of the risk neutral MGF. This study made an attempt to improve the accuracy of option price estimation using Wavelet method and it improves the accuracy due to its ability to estimate the risk neutral MGF. The MSE and RMSE of Wavelet model is 0.208546 and 0.456669 respectively which is much lower than that of Black-Scholes model and therefore in conclusion, Wavelet model outperforms the other model. The study was carried out using simulated stock prices of 1024 observations.
机译：Black-Scholes模型是对衍生证券进行对冲和定价的著名模型。但是，它表现出一些系统性的偏差或不切实际的假设，例如资产收益的对数正态性和恒定的波动性。许多研究试图以不同的方式减少这些偏差。这项研究的目的是使用非参数模型和参数模型来评估欧式看涨期权的价值。基于小波的定价模型是本研究中用于提高模型准确性的非参数方法。就欧洲期权的定价而言，该模型被认为是很有前途的替代方案，因为其基础证券的波动性各异，并且对风险中性的MGF进行了估算。这项研究尝试使用小波方法提高期权价格估计的准确性，并且由于其估计风险中性MGF的能力而提高了准确性。小波模型的MSE和RMSE分别为0.208546和0.456669，远低于Black-Scholes模型的MSE和RMSE，因此，总的来说，小波模型优于其他模型。该研究是使用1024个观察值的模拟股票价格进行的。

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