Non-uniqueness of option prices
β Scribed by Hans U. Gerber; Elias S.W. Shiu
- Publisher
- Elsevier Science
- Year
- 1988
- Tongue
- English
- Weight
- 280 KB
- Volume
- 7
- Category
- Article
- ISSN
- 0167-6687
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
This study illustrates the impact of both spot and option liquidity levels on option prices. Using implied volatility to measure the option price structure, our empirical results reveal that even after controlling for the systematic risk of Duan and Wei ( 2009), a clear link remains between option p
ptions on financial futures are relatively new financial instruments, although 0 options on commodities have been in existence since the Nineteenth Century. 'See Johnson (1982a) for a chronology of the historical developments in commodity option trading. Trading in options on nonfarm futures contrac
## Abstract This article proposes an efficient approach for computing the prices of American style options in the GARCH framework. Rubinstein's (1998) Edgeworth tree idea is combined with the analytical formulas for moments of the cumulative return under GARCH developed in Duan et al. (1999, 2002)
## Abstract Black, F. and Scholes, M. (1973) assume a geometric Brownian motion for stock prices and therefore a normal distribution for stock returns. In this article a simple alternative model to Black and Scholes (1973) is presented by assuming a nonβzero lower bound on stock prices. The propose