This paper examines the pricing performance of option pricing models by using intraday data on KOSPI 200 index options. We consider the Black-Scholes model, the ad hoc Black-Scholes model (ie, traders'...
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More Option pricing articles
Spread option pricing: importance of forex risk factors illustrated
We consider option pricing problems in the stochastic volatility jump diffusion model with correlated and contemporaneous jumps (SVCJ) in both the return and variance processes. The option value function...
Volume 17, Issue 3, 2014
Volume 17, Issue 2, 2013
The derivatives of option prices with respect to underlying parameters are commonly referred to as Greeks, and they measure the sensitivities of option prices to these parameters. When the closed-form...
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