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 liy fitting a lime-polynomial to implied volatility values where the order of.lhc 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
In this paper, we propose a new random volatility model, where the volatility has a deterministic te...
Derivatives have a large and significant role on the financial markets today and the popularity of o...
In this dissertation we present a new option pricing model - called the 2-Factor SV (stochastic vola...
The paper extends the option pricing model of Merlon (1973) with lime-varying volatility of the unde...
Several existing pricing models of financial derivatives as well as the effects of volatility risk a...
Because volatility of the underlying asset price is a critical factor affecting option prices and he...
The paper proposes an original class of models for the continuous time price process of a nancial se...
We present a two-factor option-pricing model, which parsimoniously captures the difference in volati...
ABSTRACT. This article describes a method for building analytically tractable option pricing models ...
This article discusses option pricing in a Markov regime-switching model with a random acceleration ...
The paper proposes an original class of models for the continuous time price process of a financial ...
We introduce a novel pricing kernel with time-varying variance risk aversion that yields closed-form...
This paper attempts to study and explore the most commonly used option pricing models. As we will se...
© 2011 Dr. Stephen Seunghwan ChinThis thesis is concerned with stochastic volatility models and pric...
This paper introduces a financial market model with transactions costs and uncertain volatility. Thi...
In this paper, we propose a new random volatility model, where the volatility has a deterministic te...
Derivatives have a large and significant role on the financial markets today and the popularity of o...
In this dissertation we present a new option pricing model - called the 2-Factor SV (stochastic vola...
The paper extends the option pricing model of Merlon (1973) with lime-varying volatility of the unde...
Several existing pricing models of financial derivatives as well as the effects of volatility risk a...
Because volatility of the underlying asset price is a critical factor affecting option prices and he...
The paper proposes an original class of models for the continuous time price process of a nancial se...
We present a two-factor option-pricing model, which parsimoniously captures the difference in volati...
ABSTRACT. This article describes a method for building analytically tractable option pricing models ...
This article discusses option pricing in a Markov regime-switching model with a random acceleration ...
The paper proposes an original class of models for the continuous time price process of a financial ...
We introduce a novel pricing kernel with time-varying variance risk aversion that yields closed-form...
This paper attempts to study and explore the most commonly used option pricing models. As we will se...
© 2011 Dr. Stephen Seunghwan ChinThis thesis is concerned with stochastic volatility models and pric...
This paper introduces a financial market model with transactions costs and uncertain volatility. Thi...
In this paper, we propose a new random volatility model, where the volatility has a deterministic te...
Derivatives have a large and significant role on the financial markets today and the popularity of o...
In this dissertation we present a new option pricing model - called the 2-Factor SV (stochastic vola...