An Empirical Comparison Of Alternative Option Pricing Models
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Author | : Ta-Peng Wu |
Publisher | : |
Total Pages | : 298 |
Release | : 2000 |
Genre | : Options (Finance) |
ISBN | : |
Download An Empirical Comparison of Alternative Option Pricing Models Book in PDF, Epub and Kindle
Author | : Tiezhu Gao |
Publisher | : |
Total Pages | : |
Release | : 2006 |
Genre | : |
ISBN | : |
Download An Empirical Comparison of Alternative Stochastic Volatility Option Pricing Models Book in PDF, Epub and Kindle
Author | : Niraj Sinha |
Publisher | : |
Total Pages | : 228 |
Release | : 1997 |
Genre | : |
ISBN | : |
Download An Empirical Comparison of Three Interest Rate Option Pricing Models Book in PDF, Epub and Kindle
Author | : Benoît Delahaut |
Publisher | : |
Total Pages | : |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Option Pricing Models Built from Lévy Processes Book in PDF, Epub and Kindle
This thesis seeks to studying two different methods of option pricing - one introduced in Carr and Madan (1999), and the other one in F.Fang and Oosterlee (2008) - suitable for stock prices following stochastic processes whose characteristic function is known. The advantage of these methods is that they do not require an explicit formula for the density function. For each method, we determine good computation parameters before comparing them in terms of efficiency and accuracy. As an intermediary step, and because the Carr-Madan method is not compatible with a customised strike grid, we study two interpolation methods : the linear and the natural cubic spline interpolations. We also discuss the calibration problem, explain why it is not as straightforward as it may seem, and compare the results obtained for both models.
Author | : Constant Eduard Beckers |
Publisher | : |
Total Pages | : |
Release | : 1986 |
Genre | : |
ISBN | : |
Download Empirical Studies of Alternative Option Pricing Models Book in PDF, Epub and Kindle
Author | : Konstantinos Pitsounis |
Publisher | : |
Total Pages | : 60 |
Release | : 1999 |
Genre | : |
ISBN | : |
Download Empirical Performance of Alternative Option Pricing Models Book in PDF, Epub and Kindle
Author | : Arvid Voormanns |
Publisher | : |
Total Pages | : 80 |
Release | : 2016-10-27 |
Genre | : |
ISBN | : 9783659963230 |
Download A Comparison of GARCH Option Pricing Models Book in PDF, Epub and Kindle
Author | : Zhiwu Chen |
Publisher | : |
Total Pages | : |
Release | : 2000 |
Genre | : |
ISBN | : |
Download Empirical Performance of Alternative Option Pricing Models Book in PDF, Epub and Kindle
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.
Author | : Christophe Chorro |
Publisher | : Springer |
Total Pages | : 202 |
Release | : 2014-12-04 |
Genre | : Business & Economics |
ISBN | : 3662450372 |
Download A Time Series Approach to Option Pricing Book in PDF, Epub and Kindle
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 | : Wolfgang Bühler |
Publisher | : |
Total Pages | : 41 |
Release | : 1997 |
Genre | : |
ISBN | : |
Download An Empirical Comparison of Alternative Models for Valuing Interest Rate Options Book in PDF, Epub and Kindle
This article presents the first comprehensive comparative study of alternative models for valuing interest rate options. One and two factor inversion models of the Hull/White type and one and two factor Heath/J arrow/Morton models are considered. The valuation models are assessed by different criteria which are of considerable importance for the practical use of the models. To assess empirical performance, the models are tested on an identical set of bond warrant data. Not only the empirical quality, however, but also the practical problems in implementing the different approaches contribute to the differentiation of the models.