A Theoretical And Empirical Evaluation Of The Performance Of Option Pricing Models Under Stochastic Volatility
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A Theoretical And Empirical Evaluation Of The Performance Of Option Pricing Models Under Stochastic Volatility
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Author :
language : en
Publisher:
Release Date : 2016
A Theoretical And Empirical Evaluation Of The Performance Of Option Pricing Models Under Stochastic Volatility written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
An Empirical Comparison Of Alternative Stochastic Volatility Option Pricing Models
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Author : Tiezhu Gao
language : en
Publisher:
Release Date : 2006
An Empirical Comparison Of Alternative Stochastic Volatility Option Pricing Models written by Tiezhu Gao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Volatility Surface And Term Structure
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Author : Kin Keung Lai
language : en
Publisher: Routledge
Release Date : 2013-09-11
Volatility Surface And Term Structure written by Kin Keung Lai and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-09-11 with Business & Economics categories.
This book provides different financial models based on options to predict underlying asset price and design the risk hedging strategies. Authors of the book have made theoretical innovation to these models to enable the models to be applicable to real market. The book also introduces risk management and hedging strategies based on different criterions. These strategies provide practical guide for real option trading. This book studies the classical stochastic volatility and deterministic volatility models. For the former, the classical Heston model is integrated with volatility term structure. The correlation of Heston model is considered to be variable. For the latter, the local volatility model is improved from experience of financial practice. The improved local volatility surface is then used for price forecasting. VaR and CVaR are employed as standard criterions for risk management. The options trading strategies are also designed combining different types of options and they have been proven to be profitable in real market. This book is a combination of theory and practice. Users will find the applications of these financial models in real market to be effective and efficient.
Theoretical Development Of Option Pricing Models And Comparison Of Call Option Models
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Author : Jeong Yeon Keum
language : en
Publisher:
Release Date : 1989
Theoretical Development Of Option Pricing Models And Comparison Of Call Option Models written by Jeong Yeon Keum and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with categories.
Black Scholes And Beyond Option Pricing Models
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Author : Neil Chriss
language : en
Publisher: McGraw Hill Professional
Release Date : 1997
Black Scholes And Beyond Option Pricing Models written by Neil Chriss and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Business & Economics categories.
An unprecedented book on option pricing! For the first time, the basics on modern option pricing are explained ``from scratch'' using only minimal mathematics. Market practitioners and students alike will learn how and why the Black-Scholes equation works, and what other new methods have been developed that build on the success of Black-Shcoles. The Cox-Ross-Rubinstein binomial trees are discussed, as well as two recent theories of option pricing: the Derman-Kani theory on implied volatility trees and Mark Rubinstein's implied binomial trees. Black-Scholes and Beyond will not only help the reader gain a solid understanding of the Balck-Scholes formula, but will also bring the reader up to date by detailing current theoretical developments from Wall Street. Furthermore, the author expands upon existing research and adds his own new approaches to modern option pricing theory. Among the topics covered in Black-Scholes and Beyond: detailed discussions of pricing and hedging options; volatility smiles and how to price options ``in the presence of the smile''; complete explanation on pricing barrier options.
Introduction To Option Pricing Theory
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Author : Gopinath Kallianpur
language : en
Publisher: Birkhäuser
Release Date : 2012-10-06
Introduction To Option Pricing Theory written by Gopinath Kallianpur and has been published by Birkhäuser this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-10-06 with Mathematics categories.
Since the appearance of seminal works by R. Merton, and F. Black and M. Scholes, stochastic processes have assumed an increasingly important role in the development of the mathematical theory of finance. This work examines, in some detail, that part of stochastic finance pertaining to option pricing theory. Thus the exposition is confined to areas of stochastic finance that are relevant to the theory, omitting such topics as futures and term-structure. This self-contained work begins with five introductory chapters on stochastic analysis, making it accessible to readers with little or no prior knowledge of stochastic processes or stochastic analysis. These chapters cover the essentials of Ito's theory of stochastic integration, integration with respect to semimartingales, Girsanov's Theorem, and a brief introduction to stochastic differential equations. Subsequent chapters treat more specialized topics, including option pricing in discrete time, continuous time trading, arbitrage, complete markets, European options (Black and Scholes Theory), American options, Russian options, discrete approximations, and asset pricing with stochastic volatility. In several chapters, new results are presented. A unique feature of the book is its emphasis on arbitrage, in particular, the relationship between arbitrage and equivalent martingale measures (EMM), and the derivation of necessary and sufficient conditions for no arbitrage (NA). {\it Introduction to Option Pricing Theory} is intended for students and researchers in statistics, applied mathematics, business, or economics, who have a background in measure theory and have completed probability theory at the intermediate level. The work lends itself to self-study, as well as to a one-semester course at the graduate level.
A Note On Hedging In Arch And Stochastic Volatility Option Pricing Models
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Author : Garcia, René
language : en
Publisher: Montréal : CIRANO
Release Date : 1997
A Note On Hedging In Arch And Stochastic Volatility Option Pricing Models written by Garcia, René and has been published by Montréal : CIRANO this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with categories.
The Empirical Performance Of A Two Factor Stochastic Volatility Model On Single Stock Options In Times Of Crisis
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Author : Lars Lange
language : en
Publisher:
Release Date : 2013
The Empirical Performance Of A Two Factor Stochastic Volatility Model On Single Stock Options In Times Of Crisis written by Lars Lange and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Die vorliegende Thesis untersucht die empirische Leistung von verschiedenen Modellen zur Berechnung von Optionspreisen. Dabei werden das Black & Scholes sowie vier komplexere Modelle mit einem besonderen Fokus auf stochastischer Volatilität detailliert vorgestellt. Anschliessend werden diese Modelle mit Optionsdaten von 2006 bis 2009 empirisch getestet.
From Constant To Stochastic Volatility
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Author : Hsin-Fang Wu
language : en
Publisher:
Release Date : 2019
From Constant To Stochastic Volatility written by Hsin-Fang Wu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with Applied mathematics categories.
The Nobel Prize-winning the Black-Scholes Model for stock option pricing has a simple formula to calculate the option price, but its simplicity comes with crude assumptions. The two major assumptions of the model are that the volatility is constant and that the stock return is normally distributed. Since 1973, and especially in the 1987 Financial Crisis, these assumptions have been proven to limit the accuracy and applicability of the model, although it is still widely used. This is because, in reality, observing a stock return distribution graph would show that there is an asymmetry or a leptokurtic shown in the stock return. Therefore, we propose that by introducing the Heston Model, we can tackle these two problematic assumptions in the Black-Scholes Model. The Heston Model considers the leverage effect and the clustering effect, which allows the volatility itself to be random and also allows it to take the non-normally distributed stock return into account. In our project, we aim to show whether the Heston model can actually improve the option pricing estimates by using the $S\&P$ 500 Index European Call Option to compare it to the Black-Scholes Model. We find that even though the results show that the Heston Model performs worse than the Black-Scholes Model when the option expiration date is soon to expire, the Heston Model significantly outperforms the Black-Scholes Model in almost all combinations of moneyness and maturity scenarios. There remains further work to improve the Heston Model.
Pde And Martingale Methods In Option Pricing
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Author : Andrea Pascucci
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-04-15
Pde And Martingale Methods In Option Pricing written by Andrea Pascucci and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-04-15 with Mathematics categories.
This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for readers with a basic mathematical background. The first part contains a presentation of the arbitrage theory in discrete time. In the second part, the theories of stochastic calculus and parabolic PDEs are developed in detail and the classical arbitrage theory is analyzed in a Markovian setting by means of of PDEs techniques. After the martingale representation theorems and the Girsanov theory have been presented, arbitrage pricing is revisited in the martingale theory optics. General tools from PDE and martingale theories are also used in the analysis of volatility modeling. The book also contains an Introduction to Lévy processes and Malliavin calculus. The last part is devoted to the description of the numerical methods used in option pricing: Monte Carlo, binomial trees, finite differences and Fourier transform.