Download or read book On Testing the Black scholes Option Pricing Model microform written by Chaudhury, Mohammed Mahtabuddin and published by National Library of Canada. This book was released on 1985 with total page 550 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Tests of the Black Scholes Option Pricing Model written by Boon Yong Chew and published by . This book was released on 1978 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Test of the Black Scholes Option Pricing Model written by Kenneth R. Netardus and published by . This book was released on 1990 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, the Black-Scholes Option Pricing Model was examined over a specific period of time, on a limited number of options, to determine if the market was using the Black-Scholes Model to prise those options. Data was collected and compiled onto five spreadsheets set up to compute the variables necessary for Black-Scholes computations. Past studies have shown that the Black-Scholes Model is fairly accurate in computing market prices. This study observes stock and option activity over the time period starting January 1, 1988, and ending January 1, 1989. This specific time period was chosen because the high market volatility experienced after the October, 1987, crash was expected to truly test the accuracy of the Black-Scholes Model. Through statistical analysis, it was found that in this limited study, the mean Black-Scholes computed price was consistently well above the mean market price for the options studied. Several factors could be responsible for the variations. Either the market did not use the Black-Scholes Option Pricing Model to price the options analyzed during the time period observed, or the limitations of this study were of a large enough degree to have significant adverse effects on the accuracy of the Black-Scholes Model.
Download or read book Black Scholes and Beyond Option Pricing Models written by Neil Chriss and published by McGraw-Hill. This book was released on 1997 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: An unprecedented book on option pricing! For the first time, the basics on modern option pricing are explained ``from scratch'' using only minimal mathematics. Market practitioners and students alike will learn how and why the Black-Scholes equation works, and what other new methods have been developed that build on the success of Black-Shcoles. The Cox-Ross-Rubinstein binomial trees are discussed, as well as two recent theories of option pricing: the Derman-Kani theory on implied volatility trees and Mark Rubinstein's implied binomial trees. Black-Scholes and Beyond will not only help the reader gain a solid understanding of the Balck-Scholes formula, but will also bring the reader up to date by detailing current theoretical developments from Wall Street. Furthermore, the author expands upon existing research and adds his own new approaches to modern option pricing theory. Among the topics covered in Black-Scholes and Beyond: detailed discussions of pricing and hedging options; volatility smiles and how to price options ``in the presence of the smile''; complete explanation on pricing barrier options.
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 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:
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 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 Tests of Black Scholes Options Pricing Model Versus Observed Prices and Their Implications written by Yuze Jiang and published by . This book was released on 1997 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Black Scholes Call Option Pricing Model written by Leonidas E. Villegas and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mathematical Modeling And Methods Of Option Pricing written by Lishang Jiang and published by World Scientific Publishing Company. This book was released on 2005-07-18 with total page 343 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to the Black-Scholes-Merton's option pricing theory.A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs. In particular, the qualitative and quantitative analysis of American option pricing is treated based on free boundary problems, and the implied volatility as an inverse problem is solved in the optimal control framework of parabolic equations.
Download or read book An Emprical sic Test of the Black Scholes Option Pricing Model on Pricing FTSE 100 Index Call Options written by Zhongjuan Su 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 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 The Black Scholes Option Pricing Model and Assumptions written by Jonathan William Anderson and published by . This book was released on 2001 with total page 172 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 Currency Option Pricing written by and published by . This book was released on 1985 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stock Option Pricing the Black Scholes Model written by Ghassan Darwish and published by . This book was released on 1989 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt:
