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...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/7701 |
| _version_ | 1826115249311318016 |
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| author | Tan, Catherine Khee Chang. Chan, Chee Foong. |
| author2 | Cheang, Gerald Hock Lye |
| author_facet | Cheang, Gerald Hock Lye Tan, Catherine Khee Chang. Chan, Chee Foong. |
| author_sort | Tan, Catherine Khee Chang. |
| collection | NTU |
| description | 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. |
| first_indexed | 2024-10-01T03:52:06Z |
| format | Thesis |
| id | ntu-10356/7701 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T03:52:06Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-10356/77012024-01-12T10:13:09Z Estimating option prices using log-gamma model. Tan, Catherine Khee Chang. Chan, Chee Foong. Cheang, Gerald Hock Lye Nanyang Business School DRNTU::Business::Finance::Options 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. Master of Science (Financial Engineering) 2008-09-18T07:49:53Z 2008-09-18T07:49:53Z 2002 2002 Thesis http://hdl.handle.net/10356/7701 en Nanyang Technological University 95 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Options Tan, Catherine Khee Chang. Chan, Chee Foong. Estimating option prices using log-gamma model. |
| title | Estimating option prices using log-gamma model. |
| title_full | Estimating option prices using log-gamma model. |
| title_fullStr | Estimating option prices using log-gamma model. |
| title_full_unstemmed | Estimating option prices using log-gamma model. |
| title_short | Estimating option prices using log-gamma model. |
| title_sort | estimating option prices using log gamma model |
| topic | DRNTU::Business::Finance::Options |
| url | http://hdl.handle.net/10356/7701 |
| work_keys_str_mv | AT tancatherinekheechang estimatingoptionpricesusingloggammamodel AT chancheefoong estimatingoptionpricesusingloggammamodel |