Browsing by Keywords "Option pricing"
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Degree of mispricing with the black-scholes model and nonparametric cures
(Peking University Press, 2003)The Black-Scholes pricing errors are larger in the deeper out-of-the-money options relative to the near out-of-the-money options, and mispricing worsens with increased volatility. Our results indicate that the Black-Scholes ... -
Measures of model uncertainty and calibrated option bounds
(Taylor & Francis, 2009)Recently, Cont introduced a quantitative framework for measuring model uncertainty in the context of derivative pricing [Model uncertainty and its impact on the pricing of derivative instruments, Math. Finance, 16(3) (2006), ...