Estimating option prices using log-gamma model.
Following the major breakthrough by Fisher Black, Myron Scholes and Robert Merton with the development of the Black-Scholes model, pricing and hedging of options have since been largely influenced by this model. In this paper, we study the pricing errors of options using the log-gamma process and a...
| Auteurs principaux: | , |
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| Autres auteurs: | |
| Format: | Thèse |
| Langue: | English |
| Publié: |
2008
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| Sujets: | |
| Accès en ligne: | http://hdl.handle.net/10356/7701 |
| Résumé: | Following the major breakthrough by Fisher Black, Myron Scholes and Robert Merton with the development of the Black-Scholes model, pricing and hedging of options have since been largely influenced by this model. In this paper, we study the pricing errors of options using the log-gamma process and a comparison analysis will be performed against the Black-Scholes model. |
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