Study on Warrant Application under GARCH-Mote Carlo Algorithm

DOI

10.2991/ssemse-15.2015.273How to use a DOI?

Keywords

GARCH Model; Monte Carlo Algorithm; European Option; Option Pricing

Abstract

In this paper, the GARCH (1,1) model is used for data modeling and forecasting. The GARCH (1,1) model is combined with the Mote Carlo (MC) algorithm to study European option pricing. The differences between the model data and the observed data are calculated by the GARCH-MC model. The GARCH-MC model is adjusted according to the differences to forecast the option prices. The GARCH-MC model is tested by the SGCOC and the SIC warrants. It is concluded that the variation trend of the model data and the observe data are coincident. The GARCH-MC model can be used to forecast accurately the option prices after adjusting.

Copyright

© 2015, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

TY  - CONF
AU  - Ruiyi Liu
AU  - Zengwen Liu
AU  - Fengxia Wang
PY  - 2015/11
DA  - 2015/11
TI  - Study on Warrant Application under GARCH-Mote Carlo Algorithm
BT  - Proceedings of the 2015 International Conference on Social Science, Education Management and Sports Education
PB  - Atlantis Press
SP  - 1061
EP  - 1064
SN  - 2352-5398
UR  - https://doi.org/10.2991/ssemse-15.2015.273
DO  - 10.2991/ssemse-15.2015.273
ID  - Liu2015/11
ER  -