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Pricing Index Options in a Multivariate Black & Scholes Model

Linders, Daniël - 2014

In this paper, we consider the problem of pricing equity index options (or basket options) in a multivariate Black & Scholes setting. Although this model suffers from some major drawbacks, it pays to consider the pricing of derivatives in the multivariate Black & Scholes model, because it is the...

Persistent link: https://www.econbiz.de/10013060590

A semiparametric factor model for implied volatility surface dynamics

Fengler, Matthias R.; Härdle, Wolfgang; Mammen, Enno - In: Journal of financial econometrics : official journal of … 5 (2007) 2, pp. 189-218

Persistent link: https://www.econbiz.de/10003518308

Hedging the smirk

Bates, David S. - In: Finance research letters 2 (2005) 4, pp. 195-200

Persistent link: https://www.econbiz.de/10003219458

Pricing Hang Seng Index options around the Asian financial crisis : a GARCH approach

Duan, Jin-Chuan; Zhang, Hua - In: Journal of banking & finance 25 (2001) 11, pp. 1989-2014

Persistent link: https://www.econbiz.de/10001617904

An application of Padé approximation to volatility modeling

Gil Fari~na, María Candelaria; Lorenzo Alegría, Rosa … - In: International advances in economic research : IAER ; an … 5 (1999) 4, pp. 446-465

Persistent link: https://www.econbiz.de/10001490640

Forecasting Performance of Volatility Models for Pricing S&P CNX Nifty Index Options Via Black-Scholes Model

Singh, Vipul Kumar - 2012

worldwide as a benchmark method to fix the base price of options trading on exchanges. Volatility is the only unknown factor in … Black-Scholes model. In this paper, we have used implied and time series econometric volatility models as inputs to Black … forecasting volatility from actual option prices - Volatility Index (VIX) and implied standard deviation approach [Implied …

Persistent link: https://www.econbiz.de/10013106428