Global ETD Search
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Showing 1 to 20 of 38 for “"Black-Scholes model"”.
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Alternatives to the Black-Scholes model
In this paper, I consider alternative models to the one posited by Black and Scholes. I consider discontinuous security price movements, non-constant volatility, and models very different from the Black-Scholes model. I found that most of the model prices for the close to at-the-money options are …
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An analysis of the Black-Scholes model for valuing stock options
This paper will discuss the Black-Scholes Method for valuing stock options. The assumptions of the model will be discussed, especially the assumption that the stock market is lognormally distributed. The volatility of stocks will be estimated and those results compared with the results given by the …
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The Black-Scholes model and the pricing of stock options in South Africa
… (OPT), along with the Capital Asset Pricing Model, the Theory of Capital Structure, and the Efficient Markets Hypothesis, form one of the pillars of modem finance theory. Central to OPT is the Black-Scholes model, the first option pricing model derived within a general equilibrium framework, …
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Incorporating default risk into the Black-Scholes model using stochastic barrier option pricing theory
… This dissertation develops a general model that prices Black-Scholes options subject to intertemporal default risk using stochastic barrier option pricing theory. The explicit closed-form solution is obtained by generalizing the reflection principle to k-space to determine the …
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The efficiency of the South African market for rights issues: an application of the Black-Scholes model
Capital market efficiency is an important aspect of modern financial theory. This is because in an efficient capital market, scarce resources are optimally allocated to productive investments in a way that is beneficial to market participants. Yet there appears to be a dearth of research into the …
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An investigation into the use of the Black-Scholes model for pricing long term options, for the purpose of costing maturity guarantees
This thesis investigates the use of the Black-Scholes option pricing model for long term options for the purposes of costing long term maturity guarantees. The maturity guarantees concerned are typically given on endowment policies issued by life offices. These endowment policies have terms usually …
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Option pricing and machine learning: a comparison of black-scholes, bachelier, and artificial neural networks
… and academics alike have applied the Black-Scholes model (or derivatives thereof) when pricing options practically since the introduction of the model in 1973. The recent coronavirus pandemic and the oil futures price crash of April 2020 have caused major markets to briefly switch to …
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An examination of kurtosis of lognormality in the Black-Scholes option pricing formula in the South African warrants market
… of constant asset price volatility of classical Black-Scholes model hasbeen challenged continuously. The symmetrical distribution emphasises a lognormalized asset. This paper aims to investigate the volatility distribution (i.e. kurtosis) of the South African warrants market at Johannesburg Stock …
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Option pricing with non-constant volatility
… past three decades, researchers have developed models to price options with non-constant asset price volatility. These models can be divided into deterministic volatility models and stochastic volatility models. Deterministic volatility models assume that volatility is determined by some …
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Maintaining optimal CEO incentives through equity grants and CEO portfolio rebalancing
… and subsequent incentive adjustments based on Black-Scholes model (1973). I use this model to estimate both the incentives from CEOs' equity holdings and adjustments to these incentives. I find that firms' and CEOs' combined annual adjustment to pay-for-performance sensitivity or risk-taking …
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Volatility derivatives in the Heston framework
… variable, not deterministic as assumed in the Black-Scholes model, market participants may surely find volatility derivatives to be useful for hedging and speculation purposes. This study explores the construction and calibration of the Heston stochastic volatility model and the pricing of some …
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Option pricing using hidden Markov models
This work will present an option pricing model that accommodates parameters that vary over time, whilst still retaining a closed-form expression for option prices: the Hidden Markov Option Pricing Model. This is possible due to the macro-structure of this model and provides the added advantage of …
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Model Misspecification and the Hedging of Exotic Options
Asset pricing models are well established and have been used extensively by practitioners both for pricing options as well as for hedging them. Though Black-Scholes is the original and most commonly communicated asset pricing model, alternative asset pricing models which incorporate additional …
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Fourier pricing of two-asset options: a comparison of methods
… for more exotic options and under varying model assumptions. This paper will expand on this research by considering the efficiency of the two methods when applied to spread and worst-of rainbow options under two different models - namely the Black-Scholes model and the Variance Gamma model. …
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On moment conditions for the Girsanov Theorem
… and will also explain a simplified version of Black-Scholes model.
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Utility-based valuation for underwater employee stock options
… by replication process both in the binomial model and the Black-Scholes model. These two methods apply to valuation in the complete-market setting. Then we introduce the concept of utility function and utility maximization in the context of portfolio allocation. An example is worked out to …
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The Distribution of Individual Stock Returns in a Modified Black-scholes Option Pricing Model
… There have been many attempts to find a model that can accurately price options. These models are built on many assumptions, including which probability distribution stock returns follow. In this paper, we test several distributions to see which best fit the log returns of 20 different …
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Hedging volatility: different perspectives compared
The accuracy of the Black and Scholes (1973) delta and vega neutral portfolio for a vanilla option was compared to a benchmark set by the Heston (1993) model in a stochastic volatility environment. The Black-Scholes portfolio was implemented using a fixed volatility and by implying volatility from …
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A contingent claims analysis of the pricing of rights isssues with discontinuous diffusion processes
… method of pricing rights using option pricing models, including the Black Scholes model, the Cox constant elasticity of variance model and the Merton jump diffusion model, and to determine the set of input parameters that lead to the most optimal results. The empirical results indicated that on …
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Describing, assessing and embedding flexibility in system architectures with application to wireless terrestrial networks and handset processors
… This analysis is used to formulate a general model of the dimensions of flexibility. The analysis to determine the value of embedding flexibility is then done using the example of a flexible handset processor. The Black-Scholes model and the Binomial model are presented as methods for …
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