An empirical comparison of alternative stochastic volatility option pricing models : Canadian evidence
In this thesis, I empirically compare the pricing performance of three classes of stochastic volatility option pricing models and the traditional Black-Scholes (1973) model in the pricing of S&P Canada 60 Index Options. The stochastic volatility models that I study are as follows: (1) the ad hoc...
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2006
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| Online Access: | http://spectrum.library.concordia.ca/8803/1/MR14367.pdf Gao, Tiezhu <http://spectrum.library.concordia.ca/view/creators/Gao=3ATiezhu=3A=3A.html> (2006) An empirical comparison of alternative stochastic volatility option pricing models : Canadian evidence. Masters thesis, Concordia University. |
Internet
http://spectrum.library.concordia.ca/8803/1/MR14367.pdfGao, Tiezhu <http://spectrum.library.concordia.ca/view/creators/Gao=3ATiezhu=3A=3A.html> (2006) An empirical comparison of alternative stochastic volatility option pricing models : Canadian evidence. Masters thesis, Concordia University.