Evaluating The Black-Scholes Option Pricing Model And Possible Option Pricing Alternative Using Market Data

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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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Bibliographic Details
Main Author:	Poon, Desmond Hin Lun
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2009
Online Access:	https://eprints.nottingham.ac.uk/22771/

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