27 search results - page 1 / 6 » An Empirical Model for Volatility of Returns and Option Pric... |
CORR
2002
Springer
13 years 4 months ago
2002
Springer
In a seminal paper in 1973, Black and Scholes argued how expected distributions of stock prices can be used to price options. Their model assumed a directed random motion for the ...
HPCS
2005
IEEE
13 years 10 months ago
2005
IEEE
— With the principal goal of developing an alternative, relatively simple and tractable pricing framework for accurately reproducing a market implied volatility surface, this pap...
SIGECOM
2009
ACM
13 years 11 months ago
2009
ACM
There is significant experimental evidence that prediction markets are efficient mechanisms for aggregating information and are more accurate in forecasting events than tradition...
CORR
2007
Springer
13 years 4 months ago
2007
Springer
In this note, we show that simple models that explicitly accounts for the market participants’ fear that the stock prices will plunge, is capable of explaining the implied volat...
ISIPTA
2003
IEEE
13 years 9 months ago
2003
IEEE
The European call option prices have well-known formulae in the Cox-RossRubinstein model [2], depending on the volatility of the underlying asset. Nevertheless it is hard to give ...