Applicability of Options Pricing Models: Evidences from India - Couverture souple

Singh, Vipul Kumar

 
9783659392955: Applicability of Options Pricing Models: Evidences from India
Couverture souple
ISBN 10 : 3659392952 ISBN 13 : 9783659392955
Editeur : LAP LAMBERT Academic Publishing, 2013

Synopsis

Rigorous efforts are being made since the four decades to root out the problem of pricing options with non-constant volatility. The suggested models can be positively categorized into deterministic volatility models and stochastic volatility models. In most of the cases of the previous researches on this issue have been tried with comparing and contrasting Black-Scholes model against the various models crafted by the researches. This book, in this way sounds unique because for the first time the various models of option pricing have directly been analyzed upon the live data of S&P CNX Nifty index options procured right from the market.This book is only a foundation stone which just gives a direction to proceed and find out innumerable opportunities to explore which will definitely be a better designed volatility model to forecast and predict a future course of investments by shielding and safeguarding it. Objective of this book is to postulate a reason why market prices display pricing biases and to examine whether an alternative framework of deterministic and stochastic models can whether give a price similar to those quoted in the market.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

Rigorous efforts are being made since the four decades to root out the problem of pricing options with non-constant volatility. The suggested models can be positively categorized into deterministic volatility models and stochastic volatility models. In most of the cases of the previous researches on this issue have been tried with comparing and contrasting Black-Scholes model against the various models crafted by the researches. This book, in this way sounds unique because for the first time the various models of option pricing have directly been analyzed upon the live data of S&P CNX Nifty index options procured right from the market.This book is only a foundation stone which just gives a direction to proceed and find out innumerable opportunities to explore which will definitely be a better designed volatility model to forecast and predict a future course of investments by shielding and safeguarding it. Objective of this book is to postulate a reason why market prices display pricing biases and to examine whether an alternative framework of deterministic and stochastic models can whether give a price similar to those quoted in the market.

Biographie de l'auteur

Dr Vipul Kumar Singh has an active interest in Quantitative Finance, Financial Engineering and Derivatives. He holds a Ph.D. in Financial Mathematics and master's degrees in Mathematics, Computer Science and Finance.He has over ten years of experience spanning in both academics and industry and has taught at postgraduate and under graduate levels.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2013
Langue
anglais
ISBN 10 
3659392952
ISBN 13 
9783659392955
Reliure
Broché
Nombre de pages
188
Coordonnées du fabricant
non disponible
Personne responsable
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