Empirical Testing of Real Option Pricing Models PDF Download
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Author: Laura J. Quigg
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 52
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Book Description
Author: Laura J. Quigg
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 52
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Book Description
Author: Ritsuko Yamazaki
Publisher:
ISBN:
Category :
Languages : en
Pages : 136
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Book Description
Author: Jeffrey Owen Katz
Publisher: McGraw Hill Professional
ISBN: 0071454705
Category : Business & Economics
Languages : en
Pages : 449
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Book Description
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.
Author: Olesia Verchenko
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Christophe Chorro
Publisher: Springer
ISBN: 9783662522400
Category : Business & Economics
Languages : en
Pages : 0
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Book Description
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.
Author: David S. Bates
Publisher:
ISBN:
Category : Economics
Languages : en
Pages :
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Book Description
This paper is an overview of empirical options research, with primary emphasis on research into systematic stochastic volatility and jump risks relevant for pricing stock index options. The paper reviews evidence from time series analysis, option prices and option price evolution regarding those risks, and discusses required compensation.
Author: Bradley David Svalberg
Publisher:
ISBN:
Category : Option (Contract)
Languages : en
Pages : 106
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Author: Constant Eduard Beckers
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 264
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Author: Evgeny Lyandres
Publisher:
ISBN:
Category :
Languages : en
Pages : 166
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Book Description
Author: Sichong Chen
Publisher:
ISBN:
Category :
Languages : en
Pages :
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