Compare S P Canada 60 Index Call Option Price With Black Scholes Call Option Price
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Compare S P Canada 60 Index Call Option Price With Black Scholes Call Option Price
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Author : Ping Huang
language : en
Publisher:
Release Date : 2003
Compare S P Canada 60 Index Call Option Price With Black Scholes Call Option Price written by Ping Huang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Options (Finance) categories.
A Study To Examine The Use Of The Black Scholes Call Option Pricing Formula Adapted For Indices And The Extent To Which Call Option Prices Predicted By The Black Scholes Model Compare With Market Call Option Prices Listed On The Tse 35 Index
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Author : Stephen B. Watton
language : en
Publisher:
Release Date : 1992
A Study To Examine The Use Of The Black Scholes Call Option Pricing Formula Adapted For Indices And The Extent To Which Call Option Prices Predicted By The Black Scholes Model Compare With Market Call Option Prices Listed On The Tse 35 Index written by Stephen B. Watton and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Options (Finance) categories.
Comparison Of Black Scholes And Heston Models For Pricing Index Options
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Author : Binay Chakrabarti
language : en
Publisher:
Release Date : 2017
Comparison Of Black Scholes And Heston Models For Pricing Index Options written by Binay Chakrabarti and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This paper studies the performance of Heston Model and Black-Scholes Model in pricing index options. I have compared the two models based on 1074 call option prices of S&P 500 on 1st November, 2016. I have calibrated the parameters of the Heston Model by non-linear least square optimization using call option prices from a period of 20 days (3rd October, 2016 to 31st October, 2016). The in-sample data had a total of 25,392 call options and thus 20 strike prices for each time-to-maturity. We observe that both Heston Model and Black Scholes Model under-price in-the-money options and over-price out-of-the money options, but the degree of error is different. Black Scholes Model slightly outperforms Heston Model for short term ITM, DITM and ATM options where Heston Model is unable to capture the high implied volatility. But Heston Model starts to give better estimates for ITM, DITM and ATM options as the time-to-maturity increases. For OTM and DOTM options, Heston Model significantly outperforms Black Scholes Model. In most of the cases, the implied volatility calculated from Heston model prices is found to be less than that calculated from market prices for different combinations of moneyness and time-to-maturity.
Options Markets
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Author : John C. Cox
language : en
Publisher: Prentice Hall
Release Date : 1985
Options Markets written by John C. Cox and has been published by Prentice Hall this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with Business & Economics categories.
Includes the first published detailed description of option exchange operations, the first published treatment using only elementary mathematics and the first step-by-step procedure for implementing the Black-Scholes formula in actual trading.
Option Pricing Models And Volatility Using Excel Vba
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Author : Fabrice D. Rouah
language : en
Publisher: John Wiley & Sons
Release Date : 2012-06-15
Option Pricing Models And Volatility Using Excel Vba written by Fabrice D. Rouah and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-06-15 with Business & Economics categories.
This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options prices, stock prices, or index prices, as well as all of the codes needed to use the option and volatility models described in the book. Praise for Option Pricing Models & Volatility Using Excel-VBA "Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers." —Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University "This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library." —Espen Gaarder Haug, option trader, philosopher, and author of Derivatives Models on Models "I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH." —Steven L. Heston, Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland
Real Options In Practice
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Author : Marion A. Brach
language : en
Publisher: John Wiley & Sons
Release Date : 2003-04-07
Real Options In Practice written by Marion A. Brach and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-04-07 with Business & Economics categories.
Explores real option theory applied in practice Real options are quickly becoming the valuation and decision-making method of choice for many companies, including oil and gas companies, utilities and natural resource companies, pharmaceutical and biotech companies, Internet companies, and many others. Real Options in Practice allows readers to view the world of real options from the vantage point of a corporate practitioner applying real option valuation techniques on a regular basis. Expert Marion Brach describes the challenges of implementing a real option framework in practice within a corporate setting. Touching on the real options most firms care about, Real Options in Practice identifies the classic types of real options-deferral, abandonment, switching, expansion, and compound-and explores the main concepts critical to understanding real option theory. Through Brach's own three-step real option valuation method readers will learn how the theory of real options is now being applied to drive better, more profitable corporate decision-making. Marion A. Brach, MD, MBA (Hagen, Germany), has undertaken financial valuation of business opportunities and acquisitions using scenario and real option valuation in the biotech industry. A recognized expert on real option theory and practice, Brach received her MBA from the Manchester Business School and frequently speaks at real option seminars.
A Practical Guide To Forecasting Financial Market Volatility
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Author : Ser-Huang Poon
language : en
Publisher: John Wiley & Sons
Release Date : 2005-08-19
A Practical Guide To Forecasting Financial Market Volatility written by Ser-Huang Poon and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-08-19 with Business & Economics categories.
Financial market volatility forecasting is one of today's most important areas of expertise for professionals and academics in investment, option pricing, and financial market regulation. While many books address financial market modelling, no single book is devoted primarily to the exploration of volatility forecasting and the practical use of forecasting models. A Practical Guide to Forecasting Financial Market Volatility provides practical guidance on this vital topic through an in-depth examination of a range of popular forecasting models. Details are provided on proven techniques for building volatility models, with guide-lines for actually using them in forecasting applications.
Earnings Quality
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Author : Patricia M. Dechow
language : en
Publisher: Research Foundation of the Institute of Chartered Financial Analysts
Release Date : 2004-01-01
Earnings Quality written by Patricia M. Dechow and has been published by Research Foundation of the Institute of Chartered Financial Analysts this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-01-01 with Corporate profits categories.
The Derivatives Sourcebook
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Author : Terence Lim
language : en
Publisher: Now Publishers Inc
Release Date : 2006
The Derivatives Sourcebook written by Terence Lim and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Business & Economics categories.
The Derivatives Sourcebook is a citation study and classification system that organizes the many strands of the derivatives literature and assigns each citation to a category. Over 1800 research articles are collected and organized into a simple web-based searchable database. We have also included the 1997 Nobel lectures of Robert Merton and Myron Scholes as a backdrop to this literature.
How I Became A Quant
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Author : Richard R. Lindsey
language : en
Publisher: John Wiley & Sons
Release Date : 2011-01-11
How I Became A Quant written by Richard R. Lindsey and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-01-11 with Business & Economics categories.
Praise for How I Became a Quant "Led by two top-notch quants, Richard R. Lindsey and Barry Schachter, How I Became a Quant details the quirky world of quantitative analysis through stories told by some of today's most successful quants. For anyone who might have thought otherwise, there are engaging personalities behind all that number crunching!" --Ira Kawaller, Kawaller & Co. and the Kawaller Fund "A fun and fascinating read. This book tells the story of how academics, physicists, mathematicians, and other scientists became professional investors managing billions." --David A. Krell, President and CEO, International Securities Exchange "How I Became a Quant should be must reading for all students with a quantitative aptitude. It provides fascinating examples of the dynamic career opportunities potentially open to anyone with the skills and passion for quantitative analysis." --Roy D. Henriksson, Chief Investment Officer, Advanced Portfolio Management "Quants"--those who design and implement mathematical models for the pricing of derivatives, assessment of risk, or prediction of market movements--are the backbone of today's investment industry. As the greater volatility of current financial markets has driven investors to seek shelter from increasing uncertainty, the quant revolution has given people the opportunity to avoid unwanted financial risk by literally trading it away, or more specifically, paying someone else to take on the unwanted risk. How I Became a Quant reveals the faces behind the quant revolution, offering you?the?chance to learn firsthand what it's like to be a?quant today. In this fascinating collection of Wall Street war stories, more than two dozen quants detail their roots, roles, and contributions, explaining what they do and how they do it, as well as outlining the sometimes unexpected paths they have followed from the halls of academia to the front lines of an investment revolution.