Modelos alternativos de valoración de opciones sobre accionesuna aplicación al mercado español
- León Valle, Angel
- Serna Calvo, Gregorio
ISSN: 0210-2633
Ano de publicación: 2005
Título do exemplar: Instrumentos derivados
Número: 69
Páxinas: 33-50
Tipo: Artigo
Outras publicacións en: Cuadernos económicos de ICE
Resumo
This paper is about testing different call option models on individual stocks traded on MEFF, the Spanish market of trading futures and options. These call options are American ones, but in practice, they behave as European options since the underlying assets in our selected sample do not deliver dividends during the life of their respective options. We implement the models of Corrado-Su (1996a), Jondeau-Rockinger (2001), the lognormal mixture of Bahra (1997) and the benchmark model of Black-Scholes (1973). Our results show, by either an in-sample or an out-of-sample analysis, that Corrado-Su and Jondeau-Rockinger are better than the Black-Scholes and the lognormal mixture but they do fail to eliminate completely the volatility smile pattern.