Factor Models for Option Pricing

被引：0
|
作者：
Carr, Peter [1 ]
Madan, Dilip [2 ]
机构：
[1] NYU, Courant Inst Math Sci, Dept Math, New York, NY 10012 USA
[2] Univ Maryland, Robert H Smith Sch Business, Van Munching Hall, College Pk, MD 20742 USA
来源：
ASIA-PACIFIC FINANCIAL MARKETS | 2012年 / 19卷 / 04期
关键词：
Variance gamma; Characteristic functions; Index options;
D O I：
10.1007/s10690-011-9151-7
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Options on stocks are priced using information on index options and viewing stocks in a factor model as indirectly holding index risk. The method is particularly suited to developing quotations on stock options when these markets are relatively illiquid and one has a liquid index options market to judge the index risk. The pricing strategy is illustrated on IBM and Sony options viewed as holding SPX and Nikkei risk respectively.
引用
收藏
页码：319 / 329
页数：11
相关论文
共 50 条
  • [41] OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING
    Elliott, Robert J.
    Siu, Tak Kuen
    Chan, Leunglung
    INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2006, 9 (06) : 825 - 841
  • [42] An empirical comparison of GARCH option pricing models
    Hsieh K.C.
    Ritchken P.
    Review of Derivatives Research, 2005, 8 (3) : 129 - 150
  • [43] VALUING EMPLOYEE STOCK OPTION PLANS USING OPTION PRICING MODELS
    SMITH, CW
    ZIMMERMAN, JL
    JOURNAL OF ACCOUNTING RESEARCH, 1976, 14 (02) : 357 - 364
  • [44] Reduced Form Mortgage Pricing as an Alternative to Option-Pricing Models
    James B. Kau
    Donald C. Keenan
    Alexey A. Smurov
    The Journal of Real Estate Finance and Economics, 2006, 33 : 183 - 196
  • [45] Reduced form mortgage pricing as an alternative to option-pricing models
    Kau, James B.
    Keenan, Donald C.
    Smurov, Alexey A.
    JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, 2006, 33 (03): : 183 - 196
  • [46] Effect of Implied Volatility on Option Prices using two Option Pricing Models
    Sisodia, Neha
    Gor, Ravi
    NMIMS MANAGEMENT REVIEW, 2021, 39 (01): : 31 - 42
  • [47] Pricing and hedging competitiveness of the tree option pricing models: Evidence from India
    Singh V.K.
    Journal of Asset Management, 2016, 17 (6) : 453 - 475
  • [48] Asynchronous Iterations of Parareal Algorithm for Option Pricing Models
    Magoules, Frederic
    Gbikpi-Benissan, Guillaume
    Zou, Qinmeng
    MATHEMATICS, 2018, 6 (04):
  • [49] Bivariate option pricing using dynamic copula models
    van den Goorbergh, RWJ
    Genest, C
    Werker, BJM
    INSURANCE MATHEMATICS & ECONOMICS, 2005, 37 (01): : 101 - 114
  • [50] Empirical performance of stochastic volatility option pricing models
    Stilger, Przemyslaw S.
    Ngoc Quynh Anh Nguyen
    Tri Minh Nguyen
    INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING, 2021, 8 (01)
12345