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

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
Author :
Publisher :
Total Pages :
Release :
ISBN-10 : OCLC:316293477
ISBN-13 :
Rating : 4/5 ( Downloads)
DOWNLOAD EBOOK
Book Synopsis 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 by : Joshua Matthew Garwood

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:


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 Related Books

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
Language: en
Pages:

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

Authors: Joshua Matthew Garwood
Categories:
Type: BOOK - Published: 2007 - Publisher:

DOWNLOAD EBOOK

Implied Volatility Functions
Language: en
Pages: 34

Implied Volatility Functions

Authors: Bernard Dumas
Categories: Options (Finance)
Type: BOOK - Published: 1996 - Publisher:

DOWNLOAD EBOOK

Abstract: Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani
An Update on the Empirical Tests of the Black-Scholes-Merton, Modified Black-Scholes and Roll-Geske-Whaley Option Pricing Models
Language: en
Pages: 336

An Update on the Empirical Tests of the Black-Scholes-Merton, Modified Black-Scholes and Roll-Geske-Whaley Option Pricing Models

Authors: John Michael Bucci
Categories:
Type: BOOK - Published: 2006 - Publisher:

DOWNLOAD EBOOK

Non-gaussian Merton-black-scholes Theory
Language: en
Pages: 421

Non-gaussian Merton-black-scholes Theory

Authors: Svetlana Boyarchenko
Categories: Business & Economics
Type: BOOK - Published: 2002-03-28 - Publisher: World Scientific

DOWNLOAD EBOOK

This book introduces an analytically tractable and computationally effective class of non-Gaussian models for shocks (regular Lévy processes of the exponential
Black Scholes and Beyond: Option Pricing Models
Language: en
Pages: 512

Black Scholes and Beyond: Option Pricing Models

Authors: Neil Chriss
Categories: Business & Economics
Type: BOOK - Published: 1997 - Publisher: McGraw-Hill

DOWNLOAD EBOOK

An unprecedented book on option pricing! For the first time, the basics on modern option pricing are explained ``from scratch'' using only minimal mathematics.