The Valuation of Option Pricing Models
ABSTRACT This dissertation analyses, compares and explores the implied volatility of the traditional Black-Scholes Option Pricing Model, and evaluates the empirical performance of the Black-Scholes Model, Modified Black-Scholes Model and GARCH Option Pricing Model. In doing so, the minimised mean...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2008
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| Online Access: | https://eprints.nottingham.ac.uk/22106/ |