Essays about: "empirical test Black-Scholes"

Found 2 essays containing the words empirical test Black-Scholes.

  1. 1. Hedging Effectiveness of Index Options in Sweden

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Janis Lazdins; Janis Kiploks; [2011]
    Keywords : Black-Scholes-Merton model; Regression-based hedge; Hedging errors; Hedging performance and effectiveness;

    Abstract : We test hedging performance of five different hedging techniques of the OMX Stockholm 30 (OMXS30) call options. Four of the hedging techniques applied are based on the Black-Scholes-Merton (BSM) model and the fifth is a regression-based model that adjusts the original BSM Greeks. READ MORE

  2. 2. Black-Scholes Option Pricing Formula - An empirical study

    University essay from Göteborgs universitet/Företagsekonomiska institutionen

    Author : Martin Gustafsson; Erik Mörck; [2010-02-12]
    Keywords : Black and Scholes; call option; put option; option pricing; volatility; price difference; pricing error; moneyness; at-the-money; in-the-money; out-of-the-money; deep-in-the-money; deep-out-of-the-money; dividend; risk free interest rate; time to expiry; standard deviation; correlation coefficient; Least-Squares Linear Regression Analysis.;

    Abstract : Purpose: The purpose of this study is to empirically test the accuracy of the Black and Scholes model by examining the difference between theoretical prices predicted by the model and actual market prices. We will also try to determine whether the accuracy of the model varies with the time left to expiration or the moneyness of an option. READ MORE