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Publications (3)
This research paper examines one-day-ahead out-of-sample performance of the volatility smirk-based options pricing models, namely, Ad-Hoc-Black–Scholes (AHBS) models on the CNX Nifty index options of India. Further, we compare the performance of these models with that of a TSRV-based Black–Scholes (BS) model. For the purpose, the study uses tick-by...
This study attempts to analyse one-day-ahead out-of-sample performance of the stochastic volatility model of Heston (SVH) in the Indian context. Also, the study compares the ex-ante performance of the SVH with that of a Two-Scale-Realised-Volatility (TSRV)-based Black-Scholes model (BS) using the liquidity-weighted performance metrics. For the purp...
This study is an endeavor to examine pricing performance of the Ad Hoc Black-Scholes (AHBS) option pricing models in the context of India’s NIFTY Index Options. NIFTY options are the second most traded index options in the world in terms of number of contracts traded. For the purpose, all the four variants of the AHBS (viz., AR1, AR2, ABS1 & ABS2)...