The simulation of option prices with application to LIFFE options on futures
โ Scribed by George A. Christodoulakis; Stephen E. Satchell
- Book ID
- 108445466
- Publisher
- Elsevier Science
- Year
- 1999
- Tongue
- English
- Weight
- 195 KB
- Volume
- 114
- Category
- Article
- ISSN
- 0377-2217
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract This paper presents a simple empirical approach to modeling and forecasting market option prices using localized option regressions (LOR). LOR projects market option prices over localized regions of their state space and is robust to assumptions regarding the underlying asset dynamics (
where c is the price of a European call option on the underlying futures
## Abstract Survivor derivatives are gaining considerable attention in both the academic and practitioner communities. Early trading in such products has generally been confined to products with linear payoffs, both funded (bonds) and unfunded (swaps). History suggests that successful linear payoff
he recent introduction of options on agricultural futures has fueled a growing T research interest on issues ranging from risk-return characteristics of option hedging strategies to the valuation of commodity options. Valuation models for options on common stocks have been extensively used ever sinc