Estimating option prices using log-gamma model.

• 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
• Institution: 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...