Option Price Estimations and Speculative Trading In Knowledge Society
Derivatives market has known an enormous and continuous development from the late 1970s, thanks to the most celebrated Black-Scholes-Merton formula. The impact on global economy is also tremendous, but due to the high leverage of speculative option trading there is a perpetual danger of economic col...
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| Format: | Article |
| Language: | English |
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Inforec Association
2012-01-01
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| Series: | Informatică economică |
| Subjects: | |
| Online Access: | http://www.revistaie.ase.ro/content/64/15%20-%20Turcoane.pdf |
| _version_ | 1818316992250118144 |
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| author | Ovidiu TURCOANE |
| author_facet | Ovidiu TURCOANE |
| author_sort | Ovidiu TURCOANE |
| collection | DOAJ |
| description | Derivatives market has known an enormous and continuous development from the late 1970s, thanks to the most celebrated Black-Scholes-Merton formula. The impact on global economy is also tremendous, but due to the high leverage of speculative option trading there is a perpetual danger of economic collapse. This paper gives a short description of knowledge society and proposes methods for option price estimation based on implied volatility, skewness and kurtosis. ‘Free-lunch’ is hardly achievable if one predicts the option price using the knowledgeable information from the market and there is almost impossible to speculate, rather than to hedge, when trading option. |
| first_indexed | 2024-12-13T09:30:14Z |
| format | Article |
| id | doaj.art-521838024bfc4e8ba2356a2a61afcc0c |
| institution | Directory Open Access Journal |
| issn | 1453-1305 1842-8088 |
| language | English |
| last_indexed | 2024-12-13T09:30:14Z |
| publishDate | 2012-01-01 |
| publisher | Inforec Association |
| record_format | Article |
| series | Informatică economică |
| spelling | doaj.art-521838024bfc4e8ba2356a2a61afcc0c2022-12-21T23:52:30ZengInforec AssociationInformatică economică1453-13051842-80882012-01-01164131141Option Price Estimations and Speculative Trading In Knowledge SocietyOvidiu TURCOANEDerivatives market has known an enormous and continuous development from the late 1970s, thanks to the most celebrated Black-Scholes-Merton formula. The impact on global economy is also tremendous, but due to the high leverage of speculative option trading there is a perpetual danger of economic collapse. This paper gives a short description of knowledge society and proposes methods for option price estimation based on implied volatility, skewness and kurtosis. ‘Free-lunch’ is hardly achievable if one predicts the option price using the knowledgeable information from the market and there is almost impossible to speculate, rather than to hedge, when trading option.http://www.revistaie.ase.ro/content/64/15%20-%20Turcoane.pdfEthics; Knowledge Society; Option Pricing; Implied VolatilitySkewnessKurtosis; Minimization Algorithm |
| spellingShingle | Ovidiu TURCOANE Option Price Estimations and Speculative Trading In Knowledge Society Informatică economică Ethics; Knowledge Society; Option Pricing; Implied Volatility Skewness Kurtosis; Minimization Algorithm |
| title | Option Price Estimations and Speculative Trading In Knowledge Society |
| title_full | Option Price Estimations and Speculative Trading In Knowledge Society |
| title_fullStr | Option Price Estimations and Speculative Trading In Knowledge Society |
| title_full_unstemmed | Option Price Estimations and Speculative Trading In Knowledge Society |
| title_short | Option Price Estimations and Speculative Trading In Knowledge Society |
| title_sort | option price estimations and speculative trading in knowledge society |
| topic | Ethics; Knowledge Society; Option Pricing; Implied Volatility Skewness Kurtosis; Minimization Algorithm |
| url | http://www.revistaie.ase.ro/content/64/15%20-%20Turcoane.pdf |
| work_keys_str_mv | AT ovidiuturcoane optionpriceestimationsandspeculativetradinginknowledgesociety |