An invitation to market-based option pricing and its applications

被引：0

作者：

Miyazaki, Koichi ^{[1
]}

机构：

[1] Univ Electrocommun, Dept Syst Engn, Tokyo 1828585, Japan

来源：

JOURNAL OF THE OPERATIONS RESEARCH SOCIETY OF JAPAN | 2007年 / 50卷 / 04期

关键词：

finance; market-based option pricing; deterministic volatility; implied tree; stochastic volatility; jump; model-free; characteristic function; fast Fourier transform; NIKKEI225; option;

D O I：

10.15807/jorsj.50.488

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

This article provides an overview of market-based option pricing and its applications. First, two fundamental approaches for market-based option pricing from the literature are introduced. Then, three important new processes, the deterministic volatility model, the stochastic volatility model, and a model including jump, are discussed. Finally, several empirical analyses on the NIKKE1225 option market are provided as examples.

引用

页码：488 / 514

页数：27

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