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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 : Ritsuko Yamazaki
Publisher :
ISBN 13 :
Total Pages : 136 pages
Book Rating : 4.:/5 (479 download)
Download or read book Empirical Testing of Real Option-pricing Models Using Land Price Index in Japan written by Ritsuko Yamazaki and published by . This book was released on 2000 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jeffrey Owen Katz
Publisher : McGraw Hill Professional
ISBN 13 : 0071454705
Total Pages : 449 pages
Book Rating : 4.0/5 (714 download)
Download or read book Advanced Option Pricing Models written by Jeffrey Owen Katz and published by McGraw Hill Professional. This book was released on 2005-03-21 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 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 : Christophe Chorro
Publisher : Springer
ISBN 13 : 9783662522400
Total Pages : 0 pages
Book Rating : 4.5/5 (224 download)
Download or read book A Time Series Approach to Option Pricing written by Christophe Chorro and published by Springer. This book was released on 2016-09-10 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 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 : 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 : 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 : Evgeny Lyandres
Publisher :
ISBN 13 :
Total Pages : 166 pages
Book Rating : 4.:/5 (637 download)
Download or read book Derivation of Warrant Pricing Models by Adjustment of Common Option Pricing Models for Dilution and Their Empirical Testing written by Evgeny Lyandres and published by . This book was released on 1999 with total page 166 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 : K. N. Lam
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (643 download)
Download or read book Empirical Testing of the Black-Scholes Option Pricing Mode written by K. N. Lam and published by . This book was released on 1986 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : 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 : Sofiane Aboura
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Empirical Performance Study of Alternative Option Pricing Models written by Sofiane Aboura and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Eduardo S. Schwartz
Publisher : MIT Press
ISBN 13 : 9780262693189
Total Pages : 890 pages
Book Rating : 4.6/5 (931 download)
Download or read book Real Options and Investment Under Uncertainty written by Eduardo S. Schwartz and published by MIT Press. This book was released on 2004 with total page 890 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study of investment under uncertainty was stagnant for several decades until developments in real options revitalized the field. The topics covered in this book include the reasons behind the under-investment programme.
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 : 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:
