Estimating option prices using log-gamma model.

• المؤلفون الرئيسيون: Tan, Catherine Khee Chang., Chan, Chee Foong.
• مؤلفون آخرون: Cheang, Gerald Hock Lye
• التنسيق: Theses and Dissertations
• اللغة: English
• منشور في: 2008
• الموضوعات: DRNTU::Business::Finance::Options
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/7701
• المؤسسة: Nanyang Technological University

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...