Narrow search
Showing 1 - 3 of 3
Cover Image
An Improved Estimator For Black-Scholes-Merton Implied Volatility
Hallerbach, Winfried - Erasmus Research Institute of Management (ERIM), … - 2004
We derive an estimator for Black-Scholes-Merton implied volatility that, when compared to the familiar Corrado & Miller [JBaF, 1996] estimator, has substantially higher approximation accuracy and extends over a wider region of moneyness.
Persistent link: https://www.econbiz.de/10010730867
Cover Image
From Skews to a Skewed-t
de Jong, de Jong, C.M.; Huisman, Huisman, R. - Erasmus Research Institute of Management (ERIM), … - 2000
-style options. We introduce a skewed version of the Student-t distribution, whose main advantage is that its shape depends on only … to compare different distributions and use the parameters as inputs to price other options. We explain the method … provides a better fit to market prices of options than the Shimko or implied tree models, and has a lower computation time than …
Persistent link: https://www.econbiz.de/10010731324
Cover Image
An Empirical Comparison of Default Swap Pricing Models
Houweling, Patrick; Vorst, Ton - Erasmus Research Institute of Management (ERIM), … - 2002
Abstract: In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the model works...
Persistent link: https://www.econbiz.de/10010837529