Generalized Hyperbolic Mmodel: European option Pricing in Developed and Eerging Markets
Date
2007Author
Mwaniki, JI
Konlack, Virginie S
Type
ArticleLanguage
enMetadata
Show full item recordAbstract
Generalized Hyperbolic Distribution and some of it subclas
ses like normal, hyperbolic and variance gamma distri-
butions are used to fit daily log returns of eight listed compa
nies in Nairobi Stock Exchange (NSE) and Montr ́eal
Exchange. We use EM-based ML estimation procedure to locate
parameters of the model. Densities of Simulated
and Empirical data are used to measure how well model fits the d
ata. We use goodness of fit statistics to compare the
selected distributions. Empirical results indicate that G
eneralized hyperbolic Distribution is capable of correcti
ng
bias of Black-Scholes and Merton normality assumption both
in Developed and Emerging markets. Moreover both
markets do have different stochastic time clock
URI
http://www.math.ku.dk/english/research/conferences/levy2007/ALLabstracts.pdf#page=82http://hdl.handle.net/11295/36930
Publisher
College of Physical and Biological Sciences