Download or read book An Empirical Test of Variance Gamma Options Pricing Model on Hang Seng Index Options written by Mou Chin Lee and published by . This book was released on 2000 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Levy Process and Variance Gamma Option Pricing Model an Empirical Test on TXO written by 張紘維 and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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:

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.

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:

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:

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.

Download or read book Option Pricing Under Black Scholes and Heston Models Empirical Test Based on FTSE100 Index Option written by Jie He and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

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:

Download or read book An Empirical Comparison of Alternative Stochastic Volatility Option Pricing Models written by Tiezhu Gao and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

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:

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:

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:

Download or read book Empirical Test of the Black scholes Option Pricing Model on the Nikkel 225 Futures Options written by Wee Liam Goh and published by . This book was released on 1996 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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.

Download or read book The Multivariate Variance Gamma Model written by Daniël Linders and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

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: