- Joined
- 5/19/12
- Messages
- 3
- Points
- 11
Hi there,
I plan to model (for a study project) a couple of option pricing models and to compare their predictive performance (the Corrado-Su model with Gram-Charlier Type A expansion and Rubinstein's Edgeworth Binomial Tree, in particular). So I'd need high frequency (tick or 1/5/15/30/60 min) historical data on option trades and the underlying asset (stock or index). The target time interval would be up to 2 years (a couple thousand observations should be enough), the fresher the better, but series as old as of 2006-2007 should do the trick (though Im concerned whether data during the initial phases of the 2007 crisis wont distort the results). Ive searched the sources in http://www.quantnet.com/forum/threads/master-list-of-free-financial-data.1036/ and many others and found plenty of data on stocks, indices and even futures, but no free intraday (15min, 30min or 60min) or tick data on option trades.
The particular underlying assest is not of importance, any actively traded ones are ok, such as:
Indices: PXA (options on CAC40); ODAX; OESX; SPX; DJX; KN (calls on NIKKEI)
Equities: DAI (options on Daimler); DBK (Deutsche Bank); DTE (Deutsche Telekom); NOA3 (Nokia); MSFT; CVX etc.
(majority of the examples are from german market only cause Ive done a quick selection from Eurex)
What particular data is necessary: current date/time of transaction (optional)/Option price/Strike price/Price of the underlying asset/Risk free interest rate (hope Ill figure it out from a free source)/maturity date.
The time to maturity period which is of interest is 10-100 days (going to divide it into two groups <60 and >60).
Moneyness: both ITM and OTM.
Thx, at least for reading all that
PS: I mean european call options (or puts, will transform them through call-put parity).
PS2: my email: m_rusnac@yahoo.com
I plan to model (for a study project) a couple of option pricing models and to compare their predictive performance (the Corrado-Su model with Gram-Charlier Type A expansion and Rubinstein's Edgeworth Binomial Tree, in particular). So I'd need high frequency (tick or 1/5/15/30/60 min) historical data on option trades and the underlying asset (stock or index). The target time interval would be up to 2 years (a couple thousand observations should be enough), the fresher the better, but series as old as of 2006-2007 should do the trick (though Im concerned whether data during the initial phases of the 2007 crisis wont distort the results). Ive searched the sources in http://www.quantnet.com/forum/threads/master-list-of-free-financial-data.1036/ and many others and found plenty of data on stocks, indices and even futures, but no free intraday (15min, 30min or 60min) or tick data on option trades.
The particular underlying assest is not of importance, any actively traded ones are ok, such as:
Indices: PXA (options on CAC40); ODAX; OESX; SPX; DJX; KN (calls on NIKKEI)
Equities: DAI (options on Daimler); DBK (Deutsche Bank); DTE (Deutsche Telekom); NOA3 (Nokia); MSFT; CVX etc.
(majority of the examples are from german market only cause Ive done a quick selection from Eurex)
What particular data is necessary: current date/time of transaction (optional)/Option price/Strike price/Price of the underlying asset/Risk free interest rate (hope Ill figure it out from a free source)/maturity date.
The time to maturity period which is of interest is 10-100 days (going to divide it into two groups <60 and >60).
Moneyness: both ITM and OTM.
Thx, at least for reading all that
PS: I mean european call options (or puts, will transform them through call-put parity).
PS2: my email: m_rusnac@yahoo.com