Accuracy of Implied Volatility Approximations Using "Nearest-to-the-Money" Option Premiums [PDF]
Implied volatility is a useful bit of information for futures and options hedgers and speculators. However, extraction of implied volatility from Black-Scholes (BS) option pricing model requires a numeric search.
Bridges, William +3 more
core +1 more source
Empirical examination of the Black–Scholes model: evidence from the United States stock market
Frontiers in Applied Mathematics and StatisticsOption pricing is crucial in enabling investors to hedge against risks. The Black–Scholes option pricing model is widely used for this purpose. This paper investigates whether the Black–Scholes model is a good indicator of option pricing in the United ...
Monsurat Foluke Salami
doaj +1 more source
A general decomposition formula for derivative prices in stochastic volatility models [PDF]
We see that the price of an european call option in a stochastic volatility framework can be decomposed in the sum of four terms, which identify the main features of the market that affect to option prices: the expected future volatility, the correlation
Elisa Alòs
core
Effects of market sentiment in index option pricing: a study of CNX NIFTY index option [PDF]
This paper provides evidence of the role of sentiments in pricing Indian CNX Nifty index call Option during the period from April 2002 to December 2008. It also shows that Black-Scholes option pricing model using the implied volatility of previous day is
Malipeddi, Koteswararao +1 more
core +1 more source
Valuation of Options in a Setting with Happiness-Augmented Preferences [PDF]
We derive a pricing formula for a European call option written on equity in a framework where returns and consumption covary with external happiness. Being a non-tradable variable, happiness is regarded as an extra variable in a parameterised version of ...
Stephen Satchell, Vincenzo Merella
core
Option Strategies with linear programming [PDF]
In practice, all option strategies are decided in advance, given the investor’s belief of the stock price. In this paper, instead of deciding in advance the most appropriate hedging option strategy, an LP problem is formulated, by considering all ...
Christos Papahristodoulou
core
Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary [PDF]
This paper presents a new numerical method for pricing American call options when the volatility of the price of the underlying stock is stochastic.
Elias Tzavalis, Shijun Wang
core
Martingalized Historical approach for Option Pricing [PDF]
In a discrete time option pricing framework, we compare the empirical performance of two pricing methodologies, namely the affine stochastic discount factor (SDF) and the empirical martingale correction methodologies.
Christophe Chorro +2 more
core
Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing [PDF]
State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator
Michal Pesta, Zdenek Hlavka
core
Pricing and procurement strategies in the relief supply chain via bidirectional option contract. [PDF]
PLoS OneMaleki Rastaghi M +3 more
europepmc +1 more source