| Abstract [eng] |
To start with, it is said american option pricing is extremely tough problem. So, this thesis proposes a new approach pricing American options in a GARCH framework. GARCH framework is combined with the american option formulas, definition and GARCH processes. The main point is to forecast stock prices and using risk-free rate estimate american call or put options prices in a really simple way. The thesis consist of option pricing using Black – Scholes, Binomial and Chicago Board Options Exchange platform compare with GARCH type processes and actual prices. The results say that estimated prices with all of the models have higher prices than actual and in this case mean absolute percent error iš about 30 percent, which is caused by volatility and the mood of participants in the market. |
