Емпирично тестване на вероятностни модели за оценяване на европейски опции върху акции

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Резюме:

With this study, we present a comparative analysis of the methodology and performance of three probability models for European style options evaluation. The differences in the calculation formulas and – in particular – the value factors for the option premium, included in the Black&Scholes, Corrado&Su and Boness models are highlighted. We test the three models empirically, comparing the results obtained from their application with the actual realized option premium. We apply statistics metods: absolut error (BIAS), quadratic error (SE), percentage error (PE) and average percentage error (APE), which determine models efficiency by the deviations recorded between the actual option premium and the price calculated, using the models applied. The empirical base includes thirteen call and thirteen put options, traded on the EURONEXT and based on shares of stock companies in Germany, France and the Netherlands. The results of the Corrado&Su model show the best and relatively reliable evaluation for calls. The call option results of the Black&Scholes model deviate more, and those of the Boness model are even weaker and can not be considered as reliable. The obtained distribution of the results of the three probability models proves the importance of the lognormal distribution of the price of the underlying shares, as well as of the asymmetry and excess in the valuation of call options. The Corrado&Su model gave equal reliability in evaluating both, call and put options. In general, each of the models gives some overestimation for most contracts, which is more common in put options.

Ключови думи:

Probability options evaluation models; European options; Black&Scholes model; Corrado&Su model; Boness model.

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