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...

Full description

Saved in:

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
Tags:	Add Tag No Tags, Be the first to tag this record!
Institution:	Nanyang Technological University
Language:	English

id	sg-ntu-dr.10356-7701
record_format	dspace
spelling	sg-ntu-dr.10356-77012024-01-12T10:13:09Z Estimating option prices using log-gamma model. Tan, Catherine Khee Chang. Chan, Chee Foong. Cheang, Gerald Hock Lye Nanyang Business School DRNTU::Business::Finance::Options 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. Master of Science (Financial Engineering) 2008-09-18T07:49:53Z 2008-09-18T07:49:53Z 2002 2002 Thesis http://hdl.handle.net/10356/7701 en Nanyang Technological University 95 p. application/pdf
institution	Nanyang Technological University
building	NTU Library
continent	Asia
country	Singapore Singapore
content_provider	NTU Library
collection	DR-NTU
language	English
topic	DRNTU::Business::Finance::Options
spellingShingle	DRNTU::Business::Finance::Options Tan, Catherine Khee Chang. Chan, Chee Foong. Estimating option prices using log-gamma model.
description	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.
author2	Cheang, Gerald Hock Lye
author_facet	Cheang, Gerald Hock Lye Tan, Catherine Khee Chang. Chan, Chee Foong.
format	Theses and Dissertations
author	Tan, Catherine Khee Chang. Chan, Chee Foong.
author_sort	Tan, Catherine Khee Chang.
title	Estimating option prices using log-gamma model.
title_short	Estimating option prices using log-gamma model.
title_full	Estimating option prices using log-gamma model.
title_fullStr	Estimating option prices using log-gamma model.
title_full_unstemmed	Estimating option prices using log-gamma model.
title_sort	estimating option prices using log-gamma model.
publishDate	2008
url	http://hdl.handle.net/10356/7701
_version_	1789482972031746048

Estimating option prices using log-gamma model.

Similar Items