Optioiden vaihtoehtoisten hinnoittelumallien suorituskyky ja siihen vaikuttavat tekijät

Abstract

Countless option pricing models have been developed to estimate the behavior of stock markets. By including different factors, these models aim to estimate an accurate arbitrage-free price for options. The challenge in option pricing is to find a model with the best performance. The tremendously large number of different pricing models makes this an impossible task for researchers and practitioners. This bachelor’s thesis conducted a literature review that compared different empirical studies on option pricing models. The purpose of the literature review was to create a large-sale picture of the empirical literature of option pricing models and to combine individual research results. Different empirical studies were analyzed based on their measurement method and results. Based on how different types of pricing models have performed in the empirical comparisons, a conclusion was made on what are the key factors affecting the performance of option pricing models. The main conclusion of the literature review is that stochastic volatility, jumps in stock prices, jumps in volatility and random time are factors that enhance the performance of option pricing models. Models that include jumps in stock prices were analyzed a step further, and it seems that infinite-activity jumps provide better performance than finite-activity jumps. In addition to these conclusions, this study noticed that researches done on option pricing models are fairly one-sided on the test data they use since almost every study evaluates the performance of different models in the S&P 500 index. Based on the literature review, there is also a developing trend towards non-affine option pricing models in the option pricing field.