๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

An analysis of index option pricing

โœ Scribed by John S. Cotner; James F. Horrell

Publisher
John Wiley and Sons
Year
1989
Tongue
English
Weight
609 KB
Volume
9
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

โœฆ Synopsis

Rudd (198s) reported that rheir tests do not lead one to rejezt the hypothesis that closing prices are nprrsentative of option process recorded throughout the day.

INDEX OFITON PRICING

/ 451 'While Evnine and Rudd used the average of the bid-ask prices at six times each day, and this study used the closing prices, this does not appear to affect the nature of the results.

๐Ÿ“œ SIMILAR VOLUMES

An application of finite elements to opt
An application of finite elements to option pricing
โœ Michael J. Tomas III; Kishore K. Yalamanchili ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 166 KB

This study applied the finite element method (FEM) to pricing options. The FEM estimates the function that satisfies a governing differential equation through the assembly of piecewise continuous functions over the domain of the problem. Two common representations, a variational functional represent