ad hocBlack and Scholes modelvolatility smileThere are two ad hoc approaches to Black and Scholes model. The "relative smile" approach treats the implied volatility skew as a fixed function of moneyness, whereas the "absolute smile" approach treats it as a function of the strike price. ...
The basic assumption of the Black-Scholes option pricing is that volatility is constant over the time to maturity of the option. We consider how the estimation of volatility is affected by the time to maturity. In particular, we consider the empirical distribution of volatility as a function of...
We find that the time-to-maturity factors improve the pricing and hedging performance of the ad hoc procedures and the superiority of the "absolute smile" approach still holds even after the time-to-maturity is considered. 展开 关键词: Options relative approach absolute approach ad hoc Black ...
应用期权定价理论中的Black-Scholes模型对采矿权价格进行评估, 依据矿业开采的特点, 探讨模型应用中的期权期限, 界定有效选择期限即采矿权的有效期限中扣除资源开发开采所需要的基本时间后的期限是合理的期权期限, 并结合案例进一步分析, 导出了在一定范围内适当增加采矿权的有效期限可以增加矿权地出让者的收益, 以及运用...
Tests the Black-Scholes model's performance on forecasting option call prices of a selected option chain dataset. Discusses factors such as volatility and time to expiration that affect the estimations of call option prices and how this occurs within the
A put option on the same stock has a strike price of 30, a time to maturity of one year and an implied volatility of 33%. What is the arbitrage opportunity open to a trader. Does the opportunity work only when the lognormal assumption underlying Black-Scholes holds. Explain the reasons ...
1、Black-Scholes Model 讲了Ito lemma就可以开始Black-Scholes Model了。 首先我们定义一个riskless asset B和一个risky asset S。 B_{0}=1,B_{t}=e^{rt} S_{0}=constant,S_{t}=S_{0}*e^{(u-\frac{1}{2}\sigma^{2})t+\sigma W_{t}} (geometric brownian motion) 然后用Ito lemma得到...
(2010) which extends the usual Black–Scholes assumption of lognormal prices of the underlying assets that an option is written on, to a more general distribution that allows for the effects of higher order moments as well as comoments arising from coskewness (see also Flynn et al. (2005),...
Ad Hoc Black and Scholes Procedures with the Time-to-Maturity There are two ad hoc approaches to Black and Scholes model. The "relative smile" approach treats the implied volatility skew as a fixed function of moneyne... SJ Byun,S Kim,DW Rhee - 《Review of Pacific Basin Financial Markets...
Recovery of the time-dependent implied volatility of time fractional Black–Scholes equation using linearization technique This paper tries to examine the recovery of the time-dependent implied volatility coefficient from market prices of options for the time fractional Black鈥... S Iqbal,Y Wei - ...