Numerical Techniques for Determining Unknown Parameters in Option Pricing
The Black-Scholes model assume that volatility and interest rates are constant. However, in reality, volatility cannot be stable nor can interest rates be constant. This thesis developed a model to recover unknown non-constant volatilities from one option contract period using simulated data, by tak...
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| Format: | Thesis |
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Curtin University
2022
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| Online Access: | http://hdl.handle.net/20.500.11937/92350 |
| _version_ | 1848765638002081792 |
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| author | Nabubie Ibrahim, Bashiruddin |
| author_facet | Nabubie Ibrahim, Bashiruddin |
| author_sort | Nabubie Ibrahim, Bashiruddin |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | The Black-Scholes model assume that volatility and interest rates are constant. However, in reality, volatility cannot be stable nor can interest rates be constant. This thesis developed a model to recover unknown non-constant volatilities from one option contract period using simulated data, by taking the derivative with respect to volatility in the theoretical model to obtain non-constant volatilities. Non-constant volatility recovered from the market using this model matched with non-constant market volatility from simulated data. |
| first_indexed | 2025-11-14T11:38:25Z |
| format | Thesis |
| id | curtin-20.500.11937-92350 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T11:38:25Z |
| publishDate | 2022 |
| publisher | Curtin University |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-923502025-06-16T03:26:32Z Numerical Techniques for Determining Unknown Parameters in Option Pricing Nabubie Ibrahim, Bashiruddin The Black-Scholes model assume that volatility and interest rates are constant. However, in reality, volatility cannot be stable nor can interest rates be constant. This thesis developed a model to recover unknown non-constant volatilities from one option contract period using simulated data, by taking the derivative with respect to volatility in the theoretical model to obtain non-constant volatilities. Non-constant volatility recovered from the market using this model matched with non-constant market volatility from simulated data. 2022 Thesis http://hdl.handle.net/20.500.11937/92350 Curtin University fulltext |
| spellingShingle | Nabubie Ibrahim, Bashiruddin Numerical Techniques for Determining Unknown Parameters in Option Pricing |
| title | Numerical Techniques for Determining Unknown
Parameters in Option Pricing |
| title_full | Numerical Techniques for Determining Unknown
Parameters in Option Pricing |
| title_fullStr | Numerical Techniques for Determining Unknown
Parameters in Option Pricing |
| title_full_unstemmed | Numerical Techniques for Determining Unknown
Parameters in Option Pricing |
| title_short | Numerical Techniques for Determining Unknown
Parameters in Option Pricing |
| title_sort | numerical techniques for determining unknown
parameters in option pricing |
| url | http://hdl.handle.net/20.500.11937/92350 |