Modeling options markets by focusing on active traders
In this work, we study the complex behavior of options markets characterized by the volatility smile phenomenon, through microsimulation (MS). We adopt two types of active traders in our MS model: speculators and arbitrageurs, and call and put options on one underlying asset. Speculators make decisi...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2013
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| Online Access: | https://hdl.handle.net/10356/84325 http://hdl.handle.net/10220/10153 |
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| Institution: | Nanyang Technological University |
| Language: | English |