haku: @indexterm Future / yhteensä: 937
viite: 189 / 937
Tekijä:Christodoulakis, G.
Satchell, S.
Otsikko:The simulation of option prices with application to LIFFE options on futures
Lehti:European Journal of Operational Research
1999 : APR 16, VOL. 114:2, p. 249-262
Asiasana:OPERATIONAL RESEARCH
PRICES
FUTURE
Kieli:eng
Tiivistelmä: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.
SCIMA tietueen numero: 194880
lisää koriin
SCIMA