Essays about: "empirical test Black-Scholes"
Found 2 essays containing the words empirical test Black-Scholes.
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi
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
University essay from Göteborgs universitet/Företagsekonomiska institutionen
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