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Impact of the Corporate Governance on the Financial Performance of Insurance Companies in the Slovak and Czech Republics Read chapter Read first chapter

2020 | OriginalPaper | Chapter

38. Heston Nandi Option Pricing Model Applied to the CIVETS Indices

Authors : Niel Oberholzer, Pierre J. Venter

Published in: Advances in Cross-Section Data Methods in Applied Economic Research

Publisher: Springer International Publishing

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Abstract

The purpose of this study is to make use of the Heston Nandi model to approximate option price surfaces for the CIVETS (Colombia, Indonesia, Vietnam, Egypt and South Africa) countries’ equity indices. Daily data from 2010 to 2018 was used. The statistical properties of the return series show signs of leptokurtosis and volatility clustering, which is consistent with the stylised facts of financial returns. The approximated call option price surface is consistent with what is found in the market. The approximated option prices for Egypt and Turkey are slightly higher due to greater historical volatility, and a higher risk-free rate.

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Metadata
Title
Heston Nandi Option Pricing Model Applied to the CIVETS Indices
Authors
Niel Oberholzer
Pierre J. Venter
Copyright Year
2020
Book
Advances in Cross-Section Data Methods in Applied Economic Research

Print ISBN: 978-3-030-38252-0

Electronic ISBN: 978-3-030-38253-7

Copyright Year: 2020

DOI
https://doi.org/10.1007/978-3-030-38253-7_38

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