Alternative Option Pricing Models
An Exploratory Viewpoint on the Perspectives and Practices of Testing Alternative Option Pricing Models
... different models to capture the pricing performance of options traded in in the ...to pricing performance of option pricing models published over the ...the models rather ...
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Empirical Performance of Alternative Option Pricing Models for Commodity Futures Options
... (1993) models to price options on combined stochastic volatility/jump-diffusion (SVJD) processes under sys- tematic jump and volatility ...European option pricing model that admits stochastic ...
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IBEX-35 OPTION PRICING UNDER ALTERNATIVE MODELS
... each option contract of the subsample, to obtain the BS ...observed option price with the pricing for- ...call option, I obtained the volatility of each model equating the observed price of ...
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INFORMATION CONTENT OF CROSS-SECTIONAL OPTION PRICES: A COMPARISON OF ALTERNATIVE CURRENCY OPTION PRICING MODELS
... misspecified option-pricing model exhibits ...observed option prices and plotted against moneyness (S兾K) levels, as with Black-Scholes, these biases graphically translate into an implied volatility ...
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Numerical Option Pricing in CARMA Models
... ARMA models from time series ...these models stems from the prevailing interest in financial econometrics, and in particular in Ornstein-Uhlenbeck processes (OU) such as the acclaimed stochastic volatility ...
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Calibrating Option Pricing Models with Heuristics
... A remark: integration rules like Gauss–Legendre (or others, eg, Clenshaw–Curtis) prescribe to sample the integrand at points that cluster around the endpoints of the interval. This happens because essentially a Gauss ...
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Adaptive Wave Models for Sophisticated Option Pricing
... financial option pricing is proposed, as a high-complexity alternative to the stan- dard Black-Scholes ...new option-pricing model, representing a controlled Brownian motion, in- cludes ...
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On the Relation Between Binomial and Trinomial Option Pricing Models
... Science traditionally tries to unify alternative theories and methodologies that deal with the same questions. So it is natural to ask how alternative parameterizations of trinomial trees are related to ...
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An RBF scheme for option pricing in exponential Levy models
... Given that k CGM is a (constant times a) negative exponential, Gauss-Laguerre quadrature would have been a natural alternative. Remark 3 : If the L´ evy measure is explicitly known, as it is for CGMY, one might ...
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Option pricing with asymmetric heteroskedastic normal mixture models
... in option pricing performance of SV and GARCH models are important, mispricings still exist when comparing these models to actual option data as documented by ...of option ...
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Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
... in option pricing performance of SV and GARCH models are important, mispricings still exist when comparing these models to actual option data as documented by ...of option ...
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Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
... in option pricing performance of SV and GARCH models are important, mispricings still exist when comparing these models to actual option data as documented by ...of option ...
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Computing option pricing models under transaction costs
... nonlinear models uses to be difficult and difficulties are overcome by means of linearization strategies that in some way falsify the model mainly near the maturity and the strike ...an alternative ...
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Vanilla Option Pricing on Stochastic Volatility market models
... volatility models are not complete, and thus a typical contingent claim (such as a european option) cannot be priced by ...various alternative approaches to this problem were subse- quently ...
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An RBF scheme for option pricing in exponential Levy models
... the option pricing PIDE is of convolution type, and can therefore be explicitly solved after taking Fourier ...in alternative methods which ony require knowledge of the L´ evy measure itself 1 ...
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Quantifying Model Risk in Option Pricing and Value-at-Risk Models
... Chapter 1. Introduction 2 The VaR models we consider are the Historical VaR, as the nominal model, and the Monte Carlo VaR, as the alternative model. These are determined on three portfolios consisting of ...
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Alternative Tilts for Nonparametric Option Pricing
... on the optimization problem. This additional moment restriction is easily incorpo- rated into the problem and doing so alleviates the bias seen in the nonparametric estimators associated with time to expiration. Table 1 ...
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Alternative Tilts for Nonparametric Option Pricing
... of option pricing, this interpretation speaks specifically to the persistent negative bias of the CAN estimator documented by Gray and Newman ( 2005 ...the option, the empirical distribution must ...
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A Comparison of Option Pricing Models
... The models that are commonly used for pricing derivative might divided into two main ...the models that provide analytical formulae to get the risk neutral price under some reasonable ...
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Testing Option Pricing Models
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