Robust option pricing model and empirical performance

Yang Wei-qiang

Robust option pricing model and empirical performance

2006

Yang Wei-qiang

The robust option pricing model and the closed-form solution are given.Empirical performance of the model is studied by using data of SP 500 index option.

Keywords:

Finite difference methods for option pricing
Financial economics
Rational pricing
Economics
Actuarial science
Monte Carlo methods for option pricing
Black–Scholes model
Ambiguity
Econometrics
Computer science

Correction
Source
Cite
Save
Machine Reading By IdeaReader

References

Citations