The Use of Grey Prediction to Forecast Taiwan Stock Index Option Prices

摘要

This study applies the Black-Scholes model to forecast the Taiwan stock index option prices from 2003 to 2004. The purpose of this study is to compare option pricing model based on three techniques of volatility: implied volatility. GARCH model and grey prediction, and compare estimators with three sets of criteria: RMSE, MAE and MAPE for option price. The results indicate that the grey prediction method is useful in forecasting the Taiwan stock index option price.