کد مقاله : 1029-FEMATH-FULL
محمد تقی جهاندیده *
هیات علمی / دانشگاه صنعتی اصفهان
چکیده مقاله:
The most significant financial derivatives are options which mostly used for their flexible and non-standard character. How options should be valued has become an important debate in the past few decades and many methods, formulas and models have been suggested to price options. In the last three decades, option pricing has witnessed an explosion of new models that each relax some of the restrictive Black-Scholes assumptions [1]. This is natural that the number of option pricing models be infinite. Note that every option pricing model has to make three basic assumptions: the distributional assumptions on the underlying price process, the distributional assumptions on the interest rate process and the market price of factor risks. For each of the assumptions, there are many possible choices and this cause the search for a perfect option pricing model to be endless and raise many questions, e.g. what are the advantages and disadvantages of models which are derived by relaxing and changing any of these assumptions? Can any of the relaxed assumptions help resolve known empirical biases associated with the application of known option pricing models. In this paper we present some comments on these questions.
کلیدواژه ها:
Financial Derivative, Option pricing, Levy Process, Monte-Carlo Simulation, Fourier Transform
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