Evaluating The Black-Scholes Option Pricing Model And Possible Option Pricing Alternative Using Market Data
This project investigates the underlying properties of the Black-Scholes option pricing model and unveils some of its limitations. We investigate its characteristics by employing historical S&P500 data on a number of options transactions and evaluate its assumptions in the light of market data ....
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2009
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| Online Access: | https://eprints.nottingham.ac.uk/22771/ |