Empirical Studies Of Alternative Option Pricing Models
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Empirical Studies Of Alternative Option Pricing Models
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Author : Constant Eduard Beckers
language : en
Publisher:
Release Date : 1986
Empirical Studies Of Alternative Option Pricing Models written by Constant Eduard Beckers and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with categories.
Empirical Performance Of Alternative Option Pricing Models
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Author : Konstantinos Pitsounis
language : en
Publisher:
Release Date : 1999
Empirical Performance Of Alternative Option Pricing Models written by Konstantinos Pitsounis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
Empirical Performance Study Of Alternative Option Pricing Models
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Author : Sofiane Aboura
language : en
Publisher:
Release Date : 2015
Empirical Performance Study Of Alternative Option Pricing Models written by Sofiane Aboura and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
The mispricing of the deep-in-the money and deep-out-the-money generated by the Black-Scholes (1973) model is now well documented in the literature. In this paper, we discuss different option valuation models on the basis of empirical tests carry out on the French option market. We examine methods that account for non-normal skewness and kurtosis, relax the martingale restriction, mix two log-normal distributions, and allows either for jump diffusion process or for stochastic volatility. We find that the use of a jump diffusion and stochastic volatility model performs as well as the inclusion of non normal skewness and kurtosis in terms of precision in the option valuation.Keywords : Implied Volatility, Stochastic Volatility Model, Jump Diffusion Model, Skewness, Kurtosis.
A Time Series Approach To Option Pricing
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Author : Christophe Chorro
language : en
Publisher: Springer
Release Date : 2014-12-04
A Time Series Approach To Option Pricing written by Christophe Chorro and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-04 with Business & Economics categories.
The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices. The Black Scholes framework is introduced and by underlining its shortcomings, an alternative approach is presented that has emerged over the past ten years of academic research, an approach that is much more grounded on a realistic statistical analysis of data rather than on ad hoc tractable continuous time option pricing models. The reader then learns what it takes to understand and implement these option pricing models based on time series analysis in a self-contained way. The discussion covers modeling choices available to the quantitative analyst, as well as the tools to decide upon a particular model based on the historical datasets of financial returns. The reader is then guided into numerical deduction of option prices from these models and illustrations with real examples are used to reflect the accuracy of the approach using datasets of options on equity indices.
An Empirical Comparison Of Alternative Option Pricing Models
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Author : Ta-Peng Wu
language : en
Publisher:
Release Date : 2000
An Empirical Comparison Of Alternative Option Pricing Models written by Ta-Peng Wu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Options (Finance) categories.
Empirical Performance Of Alternative Option Pricing Models
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Author : Zhiwu Chen
language : en
Publisher:
Release Date : 2000
Empirical Performance Of Alternative Option Pricing Models written by Zhiwu Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.
Substantial progress has been made in extending the Black-Scholes model to incorporate such features as stochastic volatility, stochastic interest rates and jumps.On the empirical front, however, it is not yet known whether and by how much each generalized feature will improve option pricing and hedging performance. This paper fills this gap by first developing an implementable option model in closed form that allows volatility, interest rates and jumps to bestochastic and that is parsimonious in the number of parameters. The model includes many known ones as special cases. Delta-neutral and single-instrument minimum-variance hedging strategies are derived analytically. Using Samp;P 500 options, we examine a set of alternative models from three perspectives: (1) internal consistency of implied parameters/volatility with relevant time-series data, (2)out-of-sample pricing and (3) hedging performance. The models of focus include the benchmark Black-Scholes formula and the ones that respectively allow for (i) stochastic volatility, (ii) both stochastic volatility and stochastic interest rates, and (iii) stochastic volatility and jumps.Overall, incorporating both stochastic volatility and random jumps produces the best pricing performance and the most internally-consistent implied-volatility process. Its implied volatility does not quot;smilequot; across moneyness. But, for hedging, adding either jumps or stochastic interest rates does not seem to improve performance any further once stochastic volatility is taken into account.
A Markup Approach To Option Pricing
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Author : Dao Xiong Teng
language : en
Publisher:
Release Date : 2010
A Markup Approach To Option Pricing written by Dao Xiong Teng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Options (Finance) categories.
At the heart of the classical Black-Scholes option pricing model lies the no arbitrage pricing principal with the assumption of a complete market which renders options as redundant assets. It is widely accepted that the market prices of options are generally inconsistent with the pricing model. In the existing literature, most papers have attributed the inconsistencies to the unrealistic assumptions of the classical Black-Scholes model. This paper proposes that even if option prices do follow the Black-Scholes model perfectly, we should not expect the market prices to coincide with prices calculated from the model. We propose two simple alternative approaches to the model on market prices of options, keeping most of the major assumptions under the classical model. We also examine their efficacies in estimating future volatilities and their efficacies in providing a perfect hedge to a long position in various options. Empirical results show some evidence that supports the alternative approaches. Results also show that for certain classifications of options, the alternative models provide a better delta-neutral portfolio.
Empirical Studies Of Alternative Option Pricing Models
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Author : Constant Eduard Beckers
language : en
Publisher:
Release Date : 1979
Empirical Studies Of Alternative Option Pricing Models written by Constant Eduard Beckers and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1979 with Stocks categories.
Advanced Option Pricing Models
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Author : Jeffrey Owen Katz
language : en
Publisher: McGraw Hill Professional
Release Date : 2005-03-21
Advanced Option Pricing Models written by Jeffrey Owen Katz 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 2005-03-21 with Business & Economics categories.
Advanced Option Pricing Models details specific conditions under which current option pricing models fail to provide accurate price estimates and then shows option traders how to construct improved models for better pricing in a wider range of market conditions. Model-building steps cover options pricing under conditional or marginal distributions, using polynomial approximations and “curve fitting,” and compensating for mean reversion. The authors also develop effective prototype models that can be put to immediate use, with real-time examples of the models in action.
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.