Add to ORKGAbstract This article provides an overview of market-based option pricing and its applications. First, two fundamental approaches for market-based option pricing from the literature are introduced. Then, three important new processes, the deterministic volatility model, the stochastic volatility model, and a model including jump, are discussed. Finally, several empirical analyses on the NIKKEI225 option market are provided as examples
This paper attempts to study and explore the most commonly used option pricing models. As we will se...
Title: Option Pricing Author: Radek Moravec Department: Department of Probability and Mathematical S...
In this thesis the development of stock prices and option prices are explained. First in a discrete ...
Abstract After an overview of important developments of option pricing theory, this article describe...
This diploma thesis deals with problem of option pricing with stochastic volatility. At first, the B...
Countless option pricing models have been developed to estimate the behavior of stock markets. By in...
The dissertation seeks to have an exploration into the most commonly used option pricing models. As ...
The diploma thesis is focused on the option pricing methods. There are described basic features of t...
This master's thesis focuses on the problem area of option pricing under stochastic volatility. The ...
In this paper I will try to describe how the theory of stochastic processes and especially of stocha...
Because volatility of the underlying asset price is a critical factor affecting option prices and he...
ABSTRACT This dissertation analyses, compares and explores the implied volatility of the tradition...
We propose a stochastic volatility jump-diffusion model for option pricing with contemporaneous jump...
The seminal paper of Black and Scholes (1973) led to the explosive growth of option pricing and hedg...
In this paper, we introduce a unifying approach to option pricing under continuous-time stochastic v...
This paper attempts to study and explore the most commonly used option pricing models. As we will se...
Title: Option Pricing Author: Radek Moravec Department: Department of Probability and Mathematical S...
In this thesis the development of stock prices and option prices are explained. First in a discrete ...
Abstract After an overview of important developments of option pricing theory, this article describe...
This diploma thesis deals with problem of option pricing with stochastic volatility. At first, the B...
Countless option pricing models have been developed to estimate the behavior of stock markets. By in...
The dissertation seeks to have an exploration into the most commonly used option pricing models. As ...
The diploma thesis is focused on the option pricing methods. There are described basic features of t...
This master's thesis focuses on the problem area of option pricing under stochastic volatility. The ...
In this paper I will try to describe how the theory of stochastic processes and especially of stocha...
Because volatility of the underlying asset price is a critical factor affecting option prices and he...
ABSTRACT This dissertation analyses, compares and explores the implied volatility of the tradition...
We propose a stochastic volatility jump-diffusion model for option pricing with contemporaneous jump...
The seminal paper of Black and Scholes (1973) led to the explosive growth of option pricing and hedg...
In this paper, we introduce a unifying approach to option pricing under continuous-time stochastic v...
This paper attempts to study and explore the most commonly used option pricing models. As we will se...
Title: Option Pricing Author: Radek Moravec Department: Department of Probability and Mathematical S...
In this thesis the development of stock prices and option prices are explained. First in a discrete ...