The Black-Scholes model was a revelation and took a large step
forward in terms of mathematical application in quantitative
finance. An empirical trait is that the model has generally been
used by practitioners in an ad-hoc fashion. This may explain why
actual option prices have rarely converged to respective
Black-Scholes estimates. Empirical options research has highlighted
systematic biases within the model and has attempted to correct for
these by proposing models that offer greater consistency in both
internal processes and pricing performance. In this thesis, we
explore the fundamental reasons for failure in the Black-Scholes
and analyse the benefit of augmenting the model for processes that
may be more consistent with the real world. We place emphasis on
consistency between the option-implicit distribution of the
underlying asset and the actual implicit distribution of the
underlying asset. Using a three year FTSE 100 option dataset, we
quantitatively examine the pricing consistency and reliability of
such augmented models.
General
Imprint: |
Lap Lambert Academic Publishing
|
Country of origin: |
Germany |
Release date: |
July 2010 |
First published: |
July 2010 |
Authors: |
Peter O'Connor
|
Dimensions: |
229 x 152 x 4mm (L x W x T) |
Format: |
Paperback - Trade
|
Pages: |
60 |
ISBN-13: |
978-3-8383-7831-2 |
Categories: |
Books >
Business & Economics >
Economics >
General
|
LSN: |
3-8383-7831-8 |
Barcode: |
9783838378312 |
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