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EuroAms SO - Empirical data

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期权定价模型

Black-Scholes模型实证

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资源简介：

The research hypothesis is that stock options are fairly priced using Black scholes model. Following dataset provides empirical data from a stock option on Euronext Amsterdam.

应用场景：

期权定价模型

隐含波动率

We document that the implied volatility skew of S&P 500 index puts is non-decreasing in the disaster index and risk-neutral variance, contrary to the implications of a broad class of no-arbitrage mode

NBER2015-05-01 更新150

Learning and Index Option Returns

期权定价模型

投资者学习机制

Little is known about the economic sources that may generate the abnormal returns observed in put index options. We show that the learning process followed by investors may be one such source. We deve

NIAID Data Ecosystem80

Testing Option Pricing Models

期权定价模型

衍生品分析

This paper discusses the commonly used methods for testing option pricing models, including the Black-Scholes, constant elasticity of variance, stochastic volatility, and jump-diffusion models. Since

NBER1995-05-01 更新50

Parametric Inference and Dynamic State Recovery from Option Panels

期权定价模型

金融计量学

We develop a new parametric estimation procedure for option panels observed with error which relies on asymptotic approximations assuming an ever increasing set of observed option prices in the moneyn

NBER2012-05-01 更新130

European options risks by uncertainty theory

期权定价模型

金融风险管理

* Baoding Liu initiated 'Uncertain Finance' in 2013, and it takes into account expert belief degrees to assess financial instruments (among them, financial derivatives) * This dataset is linked to t

NIAID Data Ecosystem70

EuroAms SO - Empirical data

资源简介：

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