Estimating option prices using log-gamma model.

Estimating option prices using log-gamma model.

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...

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Bibliographic Details
Main Authors: Tan, Catherine Khee Chang., Chan, Chee Foong.
Other Authors: Cheang, Gerald Hock Lye
Format: Theses and Dissertations
Language:English
Published: 2008
Subjects:
DRNTU::Business::Finance::Options
Online Access:http://hdl.handle.net/10356/7701
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Institution: Nanyang Technological University
Language: English
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Summary: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 comparison analysis will be performed against the Black-Scholes model.

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