Huang, Hung-Hsi; Wang, Ching-Ping; Chen, Shiau-Hung - In: Applied Financial Economics 21 (2011) 10, pp. 747-754
This study compares the out-of-sample performances among Black-Scholes (B-S), Stochastic Volatility (SV) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models in the Taiwan option market. Using Absolute Relative Pricing Error (ARPE) as the performance criterion, the...