منابع مشابه
Option Pricing: A Simplified Approach
This paper presents a simple discrete-time model for valuing options. The fundamental economic principles of option pricing by arbitrage methods are particularly clear in this setting. Its development requires only elementary mathematics, yet it contains as a special limiting case the celebrated Black-Scholes model, which has previously been derived only by much more difficult methods. The basi...
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Over sixty years ago, the Swedish actuary F. Esscher suggested that the Edgeworth approximation (a refinement of the normal approximation) yields better results, if it is applied to a modification of the original distribution of aggregate claims. In this paper, this Esscher transform is defined more generally as a change of measure for a certain class of stochastic processes that model stock pr...
متن کاملA Prospect Approach to Option Pricing
It’s a well known empirical fact that actual option prices show persistent and systematic deviations from Black-Scholes option values. While a substantial number of enhancements have been proposed in the literature, these approaches typically leave investor’s preferences towards risk unmodified. Recently, empirical studies using option prices find support for non-concave utility functions propo...
متن کاملA master equation approach to option pricing
A master equation approach to the numerical solution of option pricing models is developed. The basic idea of the approach is to consider the Black–Scholes equation as the macroscopic equation of an underlying mesoscopic stochastic option price variable. The dynamics of the latter is constructed and formulated in terms of a master equation. The numerical efficiency of the approach is demonstrat...
متن کاملGARCH Option Pricing: a Semiparametric Approach
Option pricing based on GARCH models is typically obtained under the assumption that the random innovations are standard normal (normal GARCH models). However, these models fail to capture the skewness and the leptokurtosis in financial data. We propose a new method to compute option prices using a non-parametric density estimator for the distribution of the driving noise. We investigate the pr...
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ژورنال
عنوان ژورنال: Decisions in Economics and Finance
سال: 2021
ISSN: 1593-8883,1129-6569
DOI: 10.1007/s10203-021-00338-7