Friday 29th of March 2024
 

A Hybrid Model for Estimation of Volatility of Call Option Price Using Particle Filter


Sunil Kumar Dhal and Srinivash Prasad

In the recent years, the distribution of possible future losses for portfolios, such as bonds or loans, exhibits strongly asymmetric behavior. In this paper, we have analyzed the effective portfolio risk management through a computational state space model by using particle filter through sequential estimation of volatility. The computational model comprises with Extended weight Moving Average Model and Black Scholes-Option Pricing model as well as GARCH deterministic volatility model. The outcome of the model establishes the effectiveness of particle filter for estimating volatility of call option prices for future portfolio returns and it can able to predict the investors financial risk and measures in a significant manner.

Keywords: Portfolio, financial risk, volatility, particle filter, call option, put option.

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ABOUT THE AUTHORS

Sunil Kumar Dhal
He is having 18 years teaching and industrial experice from diffent reputed industries.

Srinivash Prasad
He is having 25 year industy and teaching experince. He worked more than 10 years in USA as System Analysist. He has written five computer science books


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