A revisit to the applicability of option pricing models on the Hong Kong warrants market after the stock option is introduced

1996 ◽  
Author(s):  
Yue-kwong Lam
Keyword(s):  
Hong Kong ◽  
Option Pricing ◽  
Stock Option ◽  
Pricing Models

Valuing Employee Stock Option Plans Using Option Pricing Models

1976 ◽  
Vol 14 (2) ◽  
pp. 357 ◽  
Author(s):  
Clifford W. Smith ◽  
Jerold L. Zimmerman
Keyword(s):  
Option Pricing ◽  
Stock Option ◽  
Pricing Models ◽  
Employee Stock Option

Joint Calibration of Option Pricing Models via Particle Methods

2005 ◽  
Author(s):  
Billy Amzal ◽  
Yonathan Ebguy ◽  
Sebastien Roland
Keyword(s):  
Option Pricing ◽  
Particle Methods ◽  
Pricing Models

scholarly journals Quanto Pricing beyond Black–Scholes

2021 ◽  
Vol 14 (3) ◽  
pp. 136
Author(s):  
Holger Fink ◽  
Stefan Mittnik
Keyword(s):  
Option Pricing ◽  
Goodness Of Fit ◽  
Calibration Procedure ◽  
Barrier Options ◽  
Pricing Models ◽  
Modeling Framework ◽  
Double Barrier ◽  
Parameter Stability ◽  
Comprehensive Data ◽  
Black Scholes

Since their introduction, quanto options have steadily gained popularity. Matching Black–Scholes-type pricing models and, more recently, a fat-tailed, normal tempered stable variant have been established. The objective here is to empirically assess the adequacy of quanto-option pricing models. The validation of quanto-pricing models has been a challenge so far, due to the lack of comprehensive data records of exchange-traded quanto transactions. To overcome this, we make use of exchange-traded structured products. After deriving prices for composite options in the existing modeling framework, we propose a new calibration procedure, carry out extensive analyses of parameter stability and assess the goodness of fit for plain vanilla and exotic double-barrier options.

Sign in / Sign up

Export Citation Format

Share Document