One Improved Option-Pricing Method Using the Barndorff-Nielsen and Shephard Model

The Black-Scholes Model (Black-Scholes-Merton Model) is well known among practitioners and researchers in the field of option pricing. The present study explains how to simulate the Lévy process to price options and demonstrates that the Barndorff-Nielsen and Shephard Model is empirically superior to the Black-Scholes Model (Black-Scholes-Merton Model) in option pricing. This study also demonstrates how to simulate the Wiener process

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Year of publication:	2013
Authors:	Peng, Yun
Other Persons:	Bahamin, Payam (contributor) ; Cebula, Richard (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| Volatilität \| Volatility

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Extent:	1 Online-Ressource (18 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 22, 2013 erstellt
Other identifiers:	10.2139/ssrn.2222974 [DOI]
Classification:	G12 - Asset Pricing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C51 - Model Construction and Estimation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013086241