Jay Dagha

Alliance University, Finance, Alumnus

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Lucia Ballerini

Università per Stranieri di Perugia

Ashok K Karmokar

University of British Columbia

Kunle Oladeji Babalola

University of Ilorin

Fidel Nemenzo

University of the Philippines Diliman

Valerio Sangiovanni

University of Trento

Armando Marques-Guedes

UNL - New University of Lisbon

Suborna Barua

University of Dhaka, Bangladesh

Fabio Cuzzolin

Oxford Brookes University

Alessio Palmisano

Università degli Studi di Torino

Shabib H . Syed

University of the Punjab, Lahore, Pakistan

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Papers by Jay Dagha

An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options

Journal of CENTRUM Cathedra: The Business and Economics Research Journal, 2012

Derivatives have become widely accepted as tools for hedging and risk-management, as well as spec... more Derivatives have become widely accepted as tools for hedging and risk-management, as well as speculation to some extent. A more recent trend has been gaining ground, namely, arbitrage in derivatives. The critical parameter in derivatives pricing is the volatility of the underlying asset. Exchanges often overestimate volatility in order to cover any sudden changes in market behavior, leading to systematic overpricing of derivatives. Accurate forecasting of volatility would expose systematic overpricing. Unfortunately, volatility is not an easy phenomenon to predict or forecast. One class of models that have proved successful in forecasting volatility in many situations is the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) family of models. The objective of the present study is to analyze systematic bias in the pricing of options derivatives. In order to perform the analysis, data were collected for a sample of stock options traded on the National Stock Exchange (NSE) of India and their underlying stocks. In the study, GARCH models are used to forecast underlying stock volatility, and the forecasted volatility is used in the Black-Scholes model in order to determine whether the corresponding options were fairly priced. Any systematic bias in options pricing would provide evidence for arbitrage opportunities.

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GARCH Models for Forecasting Volatility and Determining Arbitrage in Options

SSRN Electronic Journal, 2000

... MIHIR DASH1 JAY KUMAR DAGHA POOJA SHARMA RASHMI SINGHAL ... and financial services (Allahabad... more

GARCH Models for Forecasting Volatility and Determining Arbitrage in Options

SSRN Electronic Journal, 2000

... MIHIR DASH1 JAY KUMAR DAGHA POOJA SHARMA RASHMI SINGHAL ... and financial services (Allahabad... more

An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options

by mihir dash and Jay Dagha

Journal of CENTRUM Cathedra: The Business and Economics Research Journal, 2012

Derivatives have become widely accepted as tools for hedging and risk-management, as well as spec... more

Download

GARCH Models for Forecasting Volatility and Determining Arbitrage in Options

by mihir dash and Jay Dagha

SSRN Electronic Journal, 2000

Derivatives have become widely accepted as tools for hedging and risk-management, and also to som... more

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JCC - The Business and Economics Research Journal Vol 5. Issue 1

by mihir dash and Jay Dagha

Editor- Vincent Charles Foreword This issue of the Journal of CENTRUM Cathedra (JCC): The Busines... more Editor- Vincent Charles Foreword This issue of the Journal of CENTRUM Cathedra (JCC): The Business and Economics Research Journal, includes eight research articles by authors from Denmark, India, Peru, Poland, Spain, and the United Kingdom and spans a spectrum of research areas such as productivity, strategic management, performance management, intellectual capital management, financial markets, and option pricing. This issue of the journal, like its earlier issues, upholds the aim to present a global perspective. Collaboration is inherent in any operating market economy, and firms seek to collaborate because of the advantages of collaborating relative to not collaborating. Past literature in the field points to “collaborative advantages” that can arise at multiple levels. In “Researching Multilevel Phenomena: The Case of Collaborative Advantage in Strategic Management,” Nicolai J. Foss and Bo B. Nielsen reflect on important multilevel issues pertaining to collaborative advantage an...

An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options

Journal of CENTRUM Cathedra: The Business and Economics Research Journal, 2012

Download

GARCH Models for Forecasting Volatility and Determining Arbitrage in Options

SSRN Electronic Journal, 2000

... MIHIR DASH1 JAY KUMAR DAGHA POOJA SHARMA RASHMI SINGHAL ... and financial services (Allahabad... more

GARCH Models for Forecasting Volatility and Determining Arbitrage in Options

SSRN Electronic Journal, 2000

... MIHIR DASH1 JAY KUMAR DAGHA POOJA SHARMA RASHMI SINGHAL ... and financial services (Allahabad... more

An Application of GARCH Models in Detecting Systematic Bias in Options Pricing and Determining Arbitrage in Options

by mihir dash and Jay Dagha

Journal of CENTRUM Cathedra: The Business and Economics Research Journal, 2012