#TITLE_ALTERNATIVE#
Many empirical studies show the negative correlation between stock price changes <br /> <br /> <br /> <br /> <br /> and volatility changes. The Constant Elasticity of Variance (CEV), originally devel- <br /> <br /> <br /> <br /> <b...
محفوظ في:
| المؤلف الرئيسي: | |
|---|---|
| التنسيق: | Theses |
| اللغة: | Indonesia |
| الوصول للمادة أونلاين: | https://digilib.itb.ac.id/gdl/view/19694 |
| الوسوم: |
إضافة وسم
لا توجد وسوم, كن أول من يضع وسما على هذه التسجيلة!
|
| الملخص: | Many empirical studies show the negative correlation between stock price changes <br />
<br />
<br />
<br />
<br />
and volatility changes. The Constant Elasticity of Variance (CEV), originally devel- <br />
<br />
<br />
<br />
<br />
oped by Cox,incorporates this negative correlation. There was a closed form solution <br />
<br />
<br />
<br />
<br />
derived by Cox, for pricing standard European option under CEV process, and for <br />
<br />
<br />
<br />
<br />
pricing European lookback option, we will use binomial approximation developed <br />
<br />
<br />
<br />
<br />
by Nelson and Ramaswamy (1990), and pricing algorithms developed by Costabile <br />
<br />
<br />
<br />
<br />
(2006). The results show the difierences between pricing option under CEV process <br />
<br />
<br />
<br />
<br />
and lognormal assumption, and of course it is much more important to have the <br />
<br />
<br />
<br />
<br />
correct model specification for estimate the option prices. |
|---|