The Partial Least-Squares Method Based Stock Indez Option Pricing

摘要：

Stock index option pricing is complicated for too much factors are involved, therefore a kind of PLs based pricing method is worth to try. The method suggested here is composed of two steps. First, it primarily estimates the option price by GARCH model; then it develops the Partial Least-Squares based index option pricing model by introducing macroeconomic factors. The paper applies the model to KOSPI200 stock index option pricing in Korean Stock Exchange to test the validity of the new method.

关键词： Stock Indez Option Pricing GARCH Model Sentimental Indicator Partial Least-Squares (PLS) KOSPI200 Stock Indez

作者: Jingchao Zhang Liyan Han

作者单位: School of Economics & Management, Beihang University, Beijing 100191, China

会议类型: 国际会议

会议名称: The 6th International Conference on Partial Least Squares and Related Methods(第六届偏最小二乘及相关方法国际会议)

会议地点: 北京

会议语种:英文

页码: 203-208

在线出版日期: 2009-09-04（万方平台首次上网日期，不代表论文的发表时间）