Effectiveness of the Skewness and Kurtosis Adjusted Black-Scholes Model in Pricing Nifty Call Options

2010 ◽  
Author(s):  
Vanita Tripathi ◽  
Sheetal Gupta
Keyword(s):  
Call Options ◽  
Black Scholes Model ◽  
Black Scholes ◽  
Skewness And Kurtosis

scholarly journals An Asymptotic Solution for Call Options on Zero-Coupon Bonds

Mathematics ◽  
2021 ◽  
Vol 9 (16) ◽  
pp. 1940
Author(s):  
Michael J. Tomas Tomas III ◽  
Jun Yu
Keyword(s):  
Stochastic Process ◽  
Asymptotic Solution ◽  
Interest Rates ◽  
Perturbation Approach ◽  
Return Volatility ◽  
Leading Order ◽  
Bond Price ◽  
Call Options ◽  
Black Scholes Model ◽  
Black Scholes

We present an asymptotic solution for call options on zero-coupon bonds, assuming a stochastic process for the price of the bond, rather than for interest rates in general. The stochastic process for the bond price incorporates dampening of the price return volatility based on the maturity of the bond. We derive the PDE in a similar way to Black and Scholes. Using a perturbation approach, we derive an asymptotic solution for the value of a call option. The result is interesting, as the leading order terms are equivalent to the Black–Scholes model and the additional next order terms provide an adjustment to Black–Scholes that results from the stochastic process for the price of the bond. In addition, based on the asymptotic solution, we derive delta, gamma, vega and theta solutions. We present some comparison values for the solution and the Greeks.

scholarly journals The Performance of Skewness and Kurtosis Adjusted Option Pricing Model in Emerging Markets

2016 ◽  
Vol 5 (3) ◽  
pp. 70-84
Author(s):  
Özge Sezgin Alp
Keyword(s):  
Emerging Markets ◽  
Option Pricing ◽  
Option Prices ◽  
Pricing Model ◽  
European Options ◽  
Black Scholes Model ◽  
Black Scholes ◽  
Option Pricing Model ◽  
Skewness And Kurtosis ◽  
Pricing Formula

In this study, the option pricing performance of the adjusted Black-Scholes model proposed by Corrado and Su (1996) and corrected by Brown and Robinson (2002), is investigated and compared with original Black Scholes pricing model for the Turkish derivatives market. The data consist of the European options written on BIST 30 index extends from January 02, 2015 to April 24, 2015 for given exercise prices with maturity April 30, 2015. In this period, the strike prices are ranging from 86 to 124. To compare the models, the implied parameters are derived by minimizing the sum of squared deviations between the observed and theoretical option prices. The implied distribution of BIST 30 index does not significantly deviate from normal distribution. In addition, pricing performance of Black Scholes model performs better in most of the time. Black Scholes pricing Formula, Carrado-Su pricing Formula, Implied Parameters

scholarly journals Black-Scholes Model in Determining European Option Prices on Netflix,Inc.

d'CARTESIAN ◽  
2019 ◽  
Vol 8 (2) ◽  
pp. 80
Author(s):  
Desty A. Tambingon ◽  
Jullia Titaley ◽  
Tohap Manurung
Keyword(s):  
Share Price ◽  
Option Prices ◽  
European Option ◽  
Put Options ◽  
Call Options ◽  
Price Data ◽  
Black Scholes Model ◽  
Black Scholes

Research has been conducted to compare the prices of European option on the Yahoo Finance website with prices obtained from the Black-Scholes model (theoretical price). Data was taken on January 31, 2019 which included the daily share price of Netflix, Inc. (NFLX) on February 14, 2018 - January 31, 2019 to obtain volatility, and NFLX options data due on January 17, 2020. Options with prices lower than theoretical prices are said to be underpriced, so the decision taken is to buy the options. Whereas options with prices higher than theoretical prices are said to be overpriced, so it has to be reconsidered. The proportion of the underpriced call options for the total number of call options is 77.7778%, while the proportion of the underpriced put options for the total number of put options is 38.5714%.

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