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dc.contributor.supervisor Thavaneswaran, Aerambamoorthy (Statistics) Ghahramani, Melody (Statistics) en_US
dc.contributor.author Doshi, Ankit
dc.date.accessioned 2012-09-20T13:55:35Z
dc.date.available 2012-09-20T13:55:35Z
dc.date.issued 2011-03 en_US
dc.identifier.citation Doshi, A., Frank, J. and Thavaneswaran, A. (2011). Seasonal volatility models. Journal of Statistical Theory and Applications, 10, 1-10. en_US
dc.identifier.uri http://hdl.handle.net/1993/8889
dc.description.abstract GARCH models have been widely used in finance to model volatility ever since the introduction of the ARCH model and its extension to the generalized ARCH (GARCH) model. Lately, there has been growing interest in modelling seasonal volatility, most recently with the introduction of the multiplicative seasonal GARCH models. As an application of the multiplicative seasonal GARCH model with real data, call prices from the major stock market index of India are calculated using estimated parameter values. It is shown that a multiplicative seasonal GARCH option pricing model outperforms the Black-Scholes formula and a GARCH(1,1) option pricing formula. A parametric bootstrap procedure is also employed to obtain an interval approximation of the call price. Narrower confidence intervals are obtained using the multiplicative seasonal GARCH model than the intervals provided by the GARCH(1,1) model for data that exhibits multiplicative seasonal GARCH volatility. en_US
dc.publisher Gowas Publishing House en_US
dc.rights info:eu-repo/semantics/openAccess
dc.subject Option pricing en_US
dc.subject Seasonality en_US
dc.subject Volatility en_US
dc.subject GARCH en_US
dc.subject Kurtosis en_US
dc.subject Bootstrap en_US
dc.subject Brownian motion en_US
dc.subject Black-Scholes en_US
dc.title Seasonal volatility models with applications in option pricing en_US
dc.type info:eu-repo/semantics/masterThesis
dc.degree.discipline Statistics en_US
dc.contributor.examiningcommittee Muthukumarana, Saman (Statistics) Rajapakse, Athula (Electrical & Computer Engineering) en_US
dc.degree.level Master of Science (M.Sc.) en_US
dc.description.note October 2012 en_US


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