共查询到20条相似文献,搜索用时 31 毫秒
1.
《Journal of Financial Economics》1987,19(2):351-372
This paper numerically solves the call option valuation problem given a fairly general continuous stochastic process for return volatility. Statistical estimators for volatility process parameters are derived, and parameter estimates are calculated for several individual stocks and indices. The resulting estimated option values do not differ dramatically from Black-Scholes values in most cases, although there is some evidence that for longer-maturity index options, Black-Scholes overvalues out-of-the-money calls in relation to in-the-money calls. 相似文献
2.
This article presents the theory of option pricing with random volatilities in complete markets. As such, it makes two contributions. First, the newly developed martingale measure technique is used to synthesize results dating from Merton (1973) through Eisenberg, (1985, 1987). This synthesis illustrates how Merton's formula, the CEV formula, and the Black-Scholes formula are special cases of the random volatility model derived herein. The impossibility of obtaining a self-financing trading strategy to duplicate an option in incomplete markets is demonstrated. This omission is important because option pricing models are often used for risk management, which requires the construction of synthetic options.Second, we derive a new formula, which is easy to interpret and easy to program, for pricing options given a random volatility. This formula (for a European call option) is seen to be a weighted average of Black-Scholes values, and is consistent with recent empirical studies finding evidence of mean-reversion in volatilities.Helpful comments from an anonymous referee are greatly appreciated. 相似文献
3.
The Black-Scholes call option pricing model exhibits systematic empirical biases. The Merton call option pricing model, which explicitly admits jumps in the underlying security return process, may potentially eliminate these biases. We provide statistical evidence consistent with the existence of lognormally distributed jumps in a majority of the daily returns of a sample of NYSE listed common stocks. However, we find no operationally significant differences between the Black-Scholes and Merton model prices of the call options written on the sampled common stocks. 相似文献
4.
This paper provides a new option pricing model which justifies the standard industry implementation of the Black-Scholes model. The standard industry implementation of the Black-Scholes model uses an implicit volatility, and it hedges both delta and gamma risk. This industry implementation is inconsistent with the theory underlying the derivation of the Black-Scholes model. We justify this implementation by showing that these adhoc adjustments to the Black-Scholes model provide a reasonable approximation to valuation and delta hedging in our new option pricing model. 相似文献
5.
Robert Geske 《Journal of Financial Economics》1979,7(1):63-81
This paper presents a theory for pricing options on options, or compound options. The method can be generalized to value many corporate liabilities. The compound call option formula derived herein considers a call option on stock which is itself an option on the assets of the firm. This perspective incorporates leverage effects into option pricing and consequently the variance of the rate of return on the stock is not constant as Black-Scholes assumed, but is instead a function of the level of the stock price. The Black-Scholes formula is shown to be a special case of the compound option formula. This new model for puts and calls corrects some important biases of the Black-Scholes model. 相似文献
6.
This paper modifies the Black-Scholes option pricing model to include the effects of transaction costs and different borrowing and lending rates. The paper demonstrates that these market imperfections tend to offset each other yielding a bounded range of prices for each option. The paper also shows that under some conditions the option pricing hedge may be society's lowest cost financial intermediary. 相似文献
7.
MARK RUBINSTEIN 《The Journal of Finance》1983,38(1):213-217
This paper develops a new option pricing formula that pushes the underlying source of risk back to the risk of individual assets of the firm. The formula simultaneously encompasses differential riskiness of the assets of the firm, their relative weights in determining the value of the firm, the effects of firm debt, and the effects of a dividend policy with both constant and random components. Although this setting considerably generalizes the Black-Scholes [1] analysis, it nonetheless produces a formula via riskless arbitrage arguments that, given estimated inputs, is as easy to use as the Black-Scholes formula. 相似文献
8.
We study a Gamma-modulated diffusion process as a long-memory generalization of the standard Black-Scholes model. This model
introduces a time dependent volatility. The option pricing problem associated with this type of processes is computed. 相似文献
9.
The predictability of an asset's returns will affect the prices of options on that asset, even though predictability is typically induced by the drift, which does not enter the option pricing formula. For discretely-sampled data, predictability is linked to the parameters that do enter the option pricing formula. We construct an adjustment for predictability to the Black-Scholes formula and show that this adjustment can be important even for small levels of predictability, especially for longer maturity options. We propose several continuous-time linear diffusion processes that can capture broader forms of predictability, and provide numerical examples that illustrate their importance for pricing options. 相似文献
10.
HAYNE E. LELAND 《The Journal of Finance》1985,40(5):1283-1301
Transactions costs invalidate the Black-Scholes arbitrage argument for option pricing, since continuous revision implies infinite trading. Discrete revision using Black-Scholes deltas generates errors which are correlated with the market, and do not approach zero with more frequent revision when transactions costs are included. This paper develops a modified option replicating strategy which depends on the size of transactions costs and the frequency of revision. Hedging errors are uncorrelated with the market and approach zero with more frequent revision. The technique permits calculation of the transactions costs of option replication and provides bounds on option prices. 相似文献
11.
MICHAEL L. HEMLER 《The Journal of Finance》1990,45(5):1565-1586
This paper uses three methods to estimate quality option values for CBOT Treasury bond futures contracts. It presents evidence regarding: (1) payoffs from exercising this option at delivery, (2) estimates from a T-bond futures pricing model that incorporates this option, and (3) estimates obtained from an exchange option pricing formula. The results indicate that this option is worth considerably less than reported by Kane and Marcus (1986a) . For example, payoffs obtained by switching from the bond cheapest to deliver three months prior to delivery to the one cheapest at time of delivery average less than 0.30 percentage points of par. 相似文献
12.
Given the evidence provided by Longstaff (1995), and Peña, Rubio and Serna (1999) a serious candidate to explain the pronounced pattern of volatility estimates across exercise prices might be related to liquidity costs. Using all calls and puts transacted between 16:00 and 16:45 on the Spanish IBEX‐35 index futures from January 1994 to October 1998 we extend previous papers to study the influence of liquidity costs, as proxied by the relative bid‐ask spread, on the pricing of options. Surprisingly, alternative parametric option pricing models incorporating the bid‐ask spread seem to perform poorly relative to Black‐Scholes. 相似文献
13.
Option replication is discussed in a discrete-time framework with transaction costs. The model represents an extension of the Cox-Ross-Rubinstein binomial option pricing model to cover the case of proportional transaction costs. The method proceeds by constructing the appropriate replicating portfolio at each trading interval. Numerical values of these prices are presented for a range of parameter values. The paper derives a simple Black-Scholes type approximation for the option prices with transaction costs and demonstrates numerically that it is quite accurate for plausible parameter values. 相似文献
14.
The Black-Scholes option pricing model, modified for dividend payments, is used to calculate jointly implied stock prices and implied standard deviations. A comparison of the implied stock prices with observed stock prices reveals that the implied prices contain information regarding equilibrium stock prices that is not fully reflected in observed stock prices. The implications of this finding are discussed. 相似文献
15.
AAMIR M. SHEIKH 《The Journal of Finance》1989,44(5):1361-1372
A test of the efficiency of the Chicago Board Options Exchange, relative to post-split increases in the volatility of common stocks, is presented. The Black-Scholes and Roll option pricing formulas are used to examine the behavior of implied standard deviations (ISDs) around split announcement and ex-dates. Comparisons with a control group of stocks find no relative increase in ISDs of stocks announcing splits. However, a relative increase is detected at the ex-date. Therefore, the joint hypothesis that 1) the Black-Scholes and Roll formulas are true and 2) the CBOE is efficient can be rejected. 相似文献
16.
Evaluation of the Asian Option by the Dual Martingale Measure 总被引:1,自引:0,他引:1
Hiroshi Shirakawa 《Asia-Pacific Financial Markets》1999,6(2):183-194
In this short paper, we shall consider the arbitrage free Asian call option pricing under the standard Black-Scholes setting. Yor [11] studied this problem by using the bond as numéraire, whereas we use the stock as numéraire which enables us to construct a single variable Markov process for Asian option pricing. Then we show the results obtained by Yor easily through the backward equation treatment for this one dimensional Markov process. Furthermore we shall show the related results for Asian option pricing derived by German-Yor [4] and Eydeland-German [3] through our approach. 相似文献
17.
Abstract: This paper describes four separate option types as special cases of Bermudans with general inter–exercise and time to final maturity. This produces a surface with European, finite American, infinite Bermudan and infinite American options as special cases. This allows Geske–Johnson (1984) two–point pricing to be extended to consider time–to–maturity as well as time–between–exercise opportunities. Due to their position on this 'map', infinite Bermudans are christened Arctic options and their pricing solution is presented. Numerical comparisons to benchmark methods are made for call prices under GBM although the results here hold for other processes and for both puts and calls when symmetry arguments are invoked. 相似文献
18.
We investigate the relation between mispricing in the Black-Scholes option pricing (BSOP) model and volume in the option market. Our results indicate heavily traded call options are priced more efficiently and have lower mispricing errors than thinly traded options. However, this relation shifts significantly on days when call option trading is high. On high-volume days, the BSOP model mispricing errors are significantly larger than mispricing errors on normal-volume days. We believe large increases in volume may reflect new and changing market information, thus making pricing less efficient in the BSOP model. 相似文献
19.
This article shows how the market coskewness model of Rubinstein(1973) and Kraus and Litzenberger (1976) is altered when a nonredundantcall option is optimally traded. Owing to the optionsnonredundancy, the economys stochastic discount factor(SDF) depends not only on the market return and the square ofthe market return but also on the option return, the squareof the option return, and the product of the market and optionreturns. This leads to an asset pricing model in which the expectedreturn on any risky asset depends explicitly on the assetscoskewness with option returns. The empirical results show thatthe option coskewness model outperforms several competing benchmarkmodels. Furthermore, option coskewness captures some of thesame risks as the FamaFrench factors small minus big(SMB) and high minus low (HML). These results suggest that thefactors that drive the pricing of nonredundant options are alsoimportant for pricing risky equities.(JEL G11, G12, D61) 相似文献
20.
We develop an option pricing model for calls and puts written on leveraged equity in an economy with corporate taxes and bankruptcy costs. The model explains implied Black-Scholes volatility biases by relating them to the firm's structural characteristics such as leverage and debt covenants. We test the model by comparing predicted pricing biases with biases observed in a large cross-section of firms with liquid exchange traded option contracts. Our empirical study detects leverage related pricing biases. The magnitudes of these biases correspond to those predicted by our model. We also find significant pricing biases for firms financed primarily by short-term debt. This supports our model because short-term debt introduces net-worth hurdles similar to net-worth covenants. 相似文献