Option Volatility & Arbitrage Opportunities
This paper develops several methods to estimate a future volatility of a stock in order to correctly price corresponding stock options. The pricing model known as Black-Scholes-Merton is presented with a constant volatility parameter and compares it to stochastic volatility models. It mathematically...
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| Format: | Others |
| Language: | en |
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LSU
2016
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| Online Access: | http://etd.lsu.edu/docs/available/etd-11082016-015550/ |