Topic: An Empirical Investigation of Option Pricing Models

Time: October 10, 2008（Friday）3：00—4：30 PM    

Venue:  Room 513, Jiageng Bld 2

Chair： Zhe Shen, assistant professor in finance, IFAS

Abstract：

In this paper, we empirically compare the pricing and forecasting performance of the wavelet option pricing model, the sp-line method, and the parametric stochastic volatility model with jumps. Both in-sample pricing and out-of-sample forecasting accuracy are examined using the US and UK index options data in 2006. Our results show that the wavelet model significantly outperforms the others in the in-sample pricing test in both markets. However, there is no clear winner in the out-of-sample forecast.

Presenter Introduction：

Xiaoquan Liu is a lecturer of finance at Unviersity of Essex. She got BA in International Business from Guangdong University of Foreign Studies and MSc and PhD in finance from Lancaster University in UK. Her research areas include asset pricing and derivatives.

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