Download or read book An Empirical Comparison of Alternative Option Pricing Models written by Ta-Peng Wu and published by . This book was released on 2000 with total page 298 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 An Empirical Comparison of Three Interest Rate Option Pricing Models written by Niraj Sinha and published by . This book was released on 1997 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Option Pricing Models Built from L vy Processes written by Benoît Delahaut and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Empirical Studies of Alternative Option Pricing Models written by Constant Eduard Beckers 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 Empirical Performance of Alternative Option Pricing Models written by Konstantinos Pitsounis and published by . This book was released on 1999 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Comparison of GARCH Option Pricing Models written by Arvid Voormanns and published by . This book was released on 2016-10-27 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Time Series Approach to Option Pricing written by Christophe Chorro and published by Springer. This book was released on 2014-12-04 with total page 202 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.

Download or read book Empirical Performance of Alternative Option Pricing Models written by Zhiwu Chen and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book An Empirical Comparison of Alternative Models for Valuing Interest Rate Options written by Wolfgang Bühler and published by . This book was released on 1997 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

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 A Comparison of Alternative Option Pricing Models written by Chung Baek 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 American Currency Option Pricing written by Eric C. Girard and published by . This book was released on 1999 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Option Valuation Under Uncertain Inflation written by John William Kensinger and published by . This book was released on 1982 with total page 105 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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:

Download or read book Market Conform Valuation of Options written by Tobias Herwig and published by Taylor & Francis. This book was released on 2006-01-17 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of this volume is on the development of new approaches for the market-conform valuation of newly issued derivatives. The first chapter presents a flexible approach to construct the binomial process of the underlying asset price by using a simultaneously backward and forward induction algorithm. This framework can be used to price and hedge a wide range of plain-vanilla and exotic options. In the second chapter this new approach is compared to existing models using a sample of plain-vanilla options, American call options and European Barrier options from two competing markets. In the third chapter new methods to value American-style options via Monte Carlo simulations in accordance with given market prices are discussed. After a short introduction to Monte Carlo methods, two new approaches are proposed. These new frameworks are illustrated via pricing examples for standard American put options.

Download or read book Empirical Performance of Option Pricing Models with Stochastic Local Volatility written by Greg Orosi and published by . This book was released on 2014 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the empirical performance of several stochastic local volatility models that are the extensions of the Heston stochastic volatility model. Our results indicate that the stochastic volatility model with quadratic local volatility significantly outperforms the stochastic volatility model with CEV type local volatility. Moreover, we compare the performance of these models to several other benchmarks and find that the quadratic local volatility model compares well to the best performing option pricing models reported in the current literature for European-style S&P500 index options. Our results also indicate that the model with quadratic local volatility reproduces the characteristics of the implied volatility surface more accurately than the Heston model. Finally, we demonstrate that capturing the shape of the implied volatility surface is necessary to price binary options accurately.