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Author : Lawrence Frederick Hicks (III.)
Publisher :
ISBN 13 :
Total Pages : 206 pages
Book Rating : 4.:/5 (917 download)
Download or read book Empirical Test of the Roll-Geske-Whaley Option Pricing Model written by Lawrence Frederick Hicks (III.) and published by . This book was released on 1982 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Michael Bucci
Publisher :
ISBN 13 :
Total Pages : 336 pages
Book Rating : 4.:/5 (742 download)
Download or read book An Update on the Empirical Tests of the Black-Scholes-Merton, Modified Black-Scholes and Roll-Geske-Whaley Option Pricing Models written by John Michael Bucci and published by . This book was released on 2006 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ashok N. Vasvani
Publisher :
ISBN 13 :
Total Pages : 110 pages
Book Rating : 4.:/5 (843 download)
Download or read book An Empirical Test of an Option Pricing Model with Stochastic Dividend Yield written by Ashok N. Vasvani and published by . This book was released on 1976 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jian Chen
Publisher : Springer
ISBN 13 : 9811074283
Total Pages : 163 pages
Book Rating : 4.8/5 (11 download)
Download or read book General Equilibrium Option Pricing Method: Theoretical and Empirical Study written by Jian Chen and published by Springer. This book was released on 2018-04-10 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. First, volatility smile and smirk is the famous puzzle in option pricing. Different from no arbitrage method, this book applies the general equilibrium approach in explaining the puzzle. In the presence of jump, investors impose more weights on the jump risk than the volatility risk, and as a result, investors require more jump risk premium which generates a pronounced volatility smirk. Second, based on the general equilibrium framework, this book proposes variance risk premium and empirically tests its predictive power for international stock market returns.
Author : Olesia Verchenko
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (427 download)
Download or read book Empirical Tests of Option Pricing Models written by Olesia Verchenko and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bradley David Svalberg
Publisher :
ISBN 13 :
Total Pages : 106 pages
Book Rating : 4.:/5 (463 download)
Download or read book An empirical test of the Black and Scholes option pricing model written by Bradley David Svalberg and published by . This book was released on 1976 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Asim Kumar Ghosh
Publisher :
ISBN 13 :
Total Pages : 178 pages
Book Rating : 4.:/5 (194 download)
Download or read book An Empirical Investigation of Geske-Johnson's American Put Option Pricing Model written by Asim Kumar Ghosh and published by . This book was released on 1987 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt:
![Download Option Pricing Model Under Volatility Smile-empirically [i.e. Smile-empirical] Test on S & P 500 Options PDF Online Free](https://books.google.com/books/content/images/frontcover/v7nJNwAACAAJ?fife=w200-h370)
Author : Vincent Hung-Ping Chang
Publisher :
ISBN 13 :
Total Pages : 134 pages
Book Rating : 4.:/5 (444 download)
Download or read book Option Pricing Model Under Volatility Smile-empirically [i.e. Smile-empirical] Test on S & P 500 Options written by Vincent Hung-Ping Chang and published by . This book was released on 2000 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Carl F. Luft
Publisher :
ISBN 13 :
Total Pages : 448 pages
Book Rating : 4.:/5 (557 download)
Download or read book The Pricing of Ginnie Mae Options written by Carl F. Luft and published by . This book was released on 1983 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kathleen Shannon
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (732 download)
Download or read book Estimation and Empirical Analysis of Option Pricing Models Using Rolling Data Samples written by Kathleen Shannon and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Louis O. Scott
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (753 download)
Download or read book Random Variance Option Pricing written by Louis O. Scott and published by . This book was released on 1988 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sichong Chen
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (643 download)
Download or read book Empirical Test of Option Pricing Models with Stochastic Volatility in S & P 5oo Futures Options written by Sichong Chen and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David S. Bates
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Empirical Option Pricing Models written by David S. Bates and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Laura J. Quigg
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (31 download)
Download or read book Empirical Testing of Real Option Pricing Models written by Laura J. Quigg and published by . This book was released on 1992 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Constant Eduard Beckers
Publisher :
ISBN 13 :
Total Pages : 264 pages
Book Rating : 4.:/5 (35 download)
Download or read book Empirical Studies of Alternative Option Pricing Models written by Constant Eduard Beckers and published by . This book was released on 1979 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Joshua Matthew Garwood
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (316 download)
Download or read book An Empirical Test of the Black, Scholes and Merton Option Pricing Model Against Competing Models Incorporating Various Non-constant Volatility Processes Applied to Equity Index Options written by Joshua Matthew Garwood and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sofiane Aboura
Publisher :
ISBN 13 :
Total Pages : 5 pages
Book Rating : 4.:/5 (129 download)
Download or read book An Empirical Test of the Hull-White Option Pricing Model written by Sofiane Aboura and published by . This book was released on 2015 with total page 5 pages. Available in PDF, EPUB and Kindle. Book excerpt: Corrado and Su (1998) implemented the stochastic volatility model of Hull and White (1988) for a particular case where variance is equal to its long-term mean. This note provides a slight correction to the series expansion derived by Corrado and Su (1998) and proposes a simulation to display the effect of this error.
