Now showing items 1-2 of 2

    • Degree of mispricing with the black-scholes model and nonparametric cures 

      Gençay, R.; Salih, A. (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 

      Pınar, M. Ç. (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), ...