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An empirical comparison of binomial tree models for SET 50 index options |
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| รหัสดีโอไอ | |
| Title | An empirical comparison of binomial tree models for SET 50 index options |
| Creator | Nawarat Ek-karntrong |
| Contributor | Khamron Mekchay, Kittipat Wong |
| Publisher | Chulalongkorn University |
| Publication Year | 2552 |
| Keyword | Risk management, Price indexes, Stocks |
| Abstract | An option is a popular security which is used to reduce and manage the investment risks. The best results of applications of option depend on analysis of option, valuation of option, and some suitable investing strategies. In this research we concern about valuation of option using an empirical comparison of binomial tree models. We compare binomial tree models for SET50 index option in terms of pricing and hedging performances. The underlying asset of SET50 index option is the Stock Exchange Thailand index 50 (SET50) which is traded in the Thailand Futures Exchange (TFEX). The sample data are taken from December 28, 2007 through December 29, 2008. The empirical comparisons are employed among three binomial tree models: the standard binomial tree (SBT), the implied binomial tree (IBT), and the generalized binomial tree (GBT). The performances are measured in terms of the mean error (ME), the mean percentage error (MPE), the mean squared error (MSE), and the mean absolute percentage error (MAPE). |
| URL Website | cuir.car.chula.ac.th |
