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:
Download or read book Option Pricing written by Richard V. Stetiu and published by . This book was released on 1977 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Microstructural Biases in Empirical Tests of Option Pricing Models written by Patrick J. Dennis and published by . This book was released on 2006 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines how noise in observed option prices arising from discrete prices and other microstructural frictions affects empirical tests of option models and risk-neutral density estimation. The discrete tick size alone introduces enough noise to make model comparisons difficult, especially for lower-priced stocks. We demonstrate that microstructural noise can lead to incorrect inferences in the univariate diffusion test of Bakshi, Cao, and Chen (2000), the transition density diffusion test of Ait-Sahalia (2002), and the speed-of-convergence test of Carr and Wu (2003). We also show that microstructural noise induces a bias into the implied risk-neutral moment estimators of Bakshi, Kapadia, and Madan (2003). Even in active, liquid option markets, observation error is likely to reduce significantly the power of tests, and in some cases represents an important source of bias.
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:
Download or read book Martingale Restriction in Option Pricing Models Empirical Tests written by Chryso Costa Nathaniel and published by . This book was released on 1997 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 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.
Download or read book The Black Scholes Call Option Pricing Model and Tests of the Model written by Susumu Ueno and published by . This book was released on 2014 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper aims to examine the theory behind the Black-Scholes call option pricing model, which has been widely used by those who deal with options to search for situations where the market price of an option differs substantially from the fair value. The empirical test of the option pricing model conducted by Black-Scholes (1972) is also reviewed in this paper. Since the test was done prior to the listed trading and is the earliest one, it seems to be outdated. A number of later empirical tests of the Black-Scholes model have shown that the model is highly successful in explaining the observed market price of options. However, the investigation of the earliest test is very meaningful in itself.
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:
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 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:
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 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 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 Empirical Option Pricing Models written by David S. Bates and published by . This book was released on 2021 with total page 0 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 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.
Download or read book Implied Volatility Functions written by Bernard Dumas and published by . This book was released on 1996 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black-Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the underlying asset's return is a deterministic function of the asset price and time and develop the deterministic volatility function (DVF) option valuation model, which has the potential of fitting the observed cross-section of option prices exactly. Using a sample of S & P 500 index options during the period June 1988 through December 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive and hedging performance of the DV option valuation model. We find that its performance is worse than that of an ad hoc Black-Scholes model with variable implied volatilities.
