Add to ORKGThe paper extends the option pricing model of Merlon (1973) with lime-varying volatility of the underlying security. We develop the theoretical option model. Time-varying volatility is constructed by fitting a lime-polynomial to implied volatility values where the order of the polynomial is approximated by the number of options considered. We then predict the option price one day forward and compare the results with the standard Black and Scholcs model. When applied to PT-SE 100 index European options the new model was found to be more accurate titan the Black and Scholcs. Key words: Omion. Time-Varying. Volatility, Black and Scholcs
In this dissertation we present a new option pricing model - called the 2-Factor SV (stochastic vola...
This paper attempts to study and explore the most commonly used option pricing models. As we will se...
An exact solution for the valuation of the options of the European style can be obtained using the B...
The paper extends the option pricing model of Merlon (1973) with lime-varying volatility of the unde...
The paper extends the option pricing model of Merlon (1973) with lime-varying volatility of the unde...
Because volatility of the underlying asset price is a critical factor affecting option prices and he...
We present a two-factor option-pricing model, which parsimoniously captures the difference in volati...
Several existing pricing models of financial derivatives as well as the effects of volatility risk a...
The paper proposes an original class of models for the continuous time price process of a nancial se...
© 2011 Dr. Stephen Seunghwan ChinThis thesis is concerned with stochastic volatility models and pric...
This diploma thesis deals with problem of option pricing with stochastic volatility. At first, the B...
The paper proposes an original class of models for the continuous time price process of a financial ...
This paper presents a new model for the valuation of European options, in which the volatility of re...
In the valuation of any derivative security, a major unknown is the volatility of the underlying sec...
We introduce a novel pricing kernel with time-varying variance risk aversion that yields closed-form...
In this dissertation we present a new option pricing model - called the 2-Factor SV (stochastic vola...
This paper attempts to study and explore the most commonly used option pricing models. As we will se...
An exact solution for the valuation of the options of the European style can be obtained using the B...
The paper extends the option pricing model of Merlon (1973) with lime-varying volatility of the unde...
The paper extends the option pricing model of Merlon (1973) with lime-varying volatility of the unde...
Because volatility of the underlying asset price is a critical factor affecting option prices and he...
We present a two-factor option-pricing model, which parsimoniously captures the difference in volati...
Several existing pricing models of financial derivatives as well as the effects of volatility risk a...
The paper proposes an original class of models for the continuous time price process of a nancial se...
© 2011 Dr. Stephen Seunghwan ChinThis thesis is concerned with stochastic volatility models and pric...
This diploma thesis deals with problem of option pricing with stochastic volatility. At first, the B...
The paper proposes an original class of models for the continuous time price process of a financial ...
This paper presents a new model for the valuation of European options, in which the volatility of re...
In the valuation of any derivative security, a major unknown is the volatility of the underlying sec...
We introduce a novel pricing kernel with time-varying variance risk aversion that yields closed-form...
In this dissertation we present a new option pricing model - called the 2-Factor SV (stochastic vola...
This paper attempts to study and explore the most commonly used option pricing models. As we will se...
An exact solution for the valuation of the options of the European style can be obtained using the B...