search query: @author Satchell, S. / total: 4
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| Author: | Christodoulakis, G. Satchell, S. |
| Title: | The simulation of option prices with application to LIFFE options on futures |
| Journal: | European Journal of Operational Research
1999 : APR 16, VOL. 114:2, p. 249-262 |
| Index terms: | OPERATIONAL RESEARCH PRICES FUTURE |
| Language: | eng |
| Abstract: | The authors build a framework for modelling the deviation of observes opinion prices from the Black & Scholes prices. The authors use a flexible model for a density, a two sided switching Weibull, to capture the implied volatility. The model can be used to generate prices, it can take into account non-arbitrage bounds for option prices and is capable of generating such stylised facts as the smile effect. The authors apply this methodology to LIFFE options on German government bond futures. |
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