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

2018 ◽  
Author(s):  
Yanrui Han
Keyword(s):  
Black Scholes Model ◽  
Black Scholes ◽  
Skewness And Kurtosis

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

An analytical approximation formula for the pricing of credit default swaps with regime switching

2021 ◽  
Vol 63 ◽  
pp. 143-162
Author(s):  
Xin-Jiang He ◽  
Sha Lin
Keyword(s):  
Regime Switching ◽  
Credit Default Swap ◽  
Analytical Approximation ◽  
Approximation Formula ◽  
Current Time ◽  
Fourier Cosine ◽  
Cosine Series ◽  
Black Scholes Model ◽  
Black Scholes ◽  
Credit Default

We derive an analytical approximation for the price of a credit default swap (CDS) contract under a regime-switching Black–Scholes model. To achieve this, we first derive a general formula for the CDS price, and establish the relationship between the unknown no-default probability and the price of a down-and-out binary option written on the same reference asset. Then we present a two-step procedure: the first step assumes that all the future information of the Markov chain is known at the current time and presents an approximation for the conditional price under a time-dependent Black–Scholes model, based on which the second step derives the target option pricing formula written in a Fourier cosine series. The efficiency and accuracy of the newly derived formula are demonstrated through numerical experiments. doi:10.1017/S1446181121000274

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