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Author: | Lekvin, B.J. Tiwari, A. |
Title: | Binomial option pricing biases and inconsistent implied volatilities |
Journal: | European Financial Management
2001 : DEC, VOL. 7:4, p. 543-562 |
Index terms: | OPTION PRICES PORTFOLIO MANAGEMENT VOLATILITY |
Language: | eng |
Abstract: | The authors evaluate the binomial option pricing methodology (OPM) by examining simulated portfolio strategies. A key aspect of this study involves sampling from the empirical distribution of observed equity returns. Using a Monte Carlo simulation, the authors generate equity prices under known volatility and return parameters. |
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