Matches in SemOpenAlex for { <https://semopenalex.org/work/W3121841238> ?p ?o ?g. }
Showing items 1 to 100 of
100
with 100 items per page.
- W3121841238 abstract "This paper compares option pricing models, based on Black model notion (Black, 1976), especially focusing on the volatility models implied in the process of pricing. We calculated the Black model with historical (BHV), implied (BIV) and several different types of realized (BRV) volatility (additionally searching for the optimal interval Δ, and parameter n - the memory of the process). Our main intention was to find the best model, i.e. which predicts the actual market price with minimum error. We focused on the HF data and bidask quotes (instead of transactional data) in order to omit the problem of non-synchronous trading and additionally to increase the significance of our research through numerous observations. After calculation of several error statistics (RMSE, HMAE and HRMSE) and additionally the percent of price overpredictions, the results confirmed our initial intuition that that BIV is the best model, BHV being the second best, and BRV – the least efficient of them. The division of our database into different classes of moneyness ratio and TTM enabled us to observe the distinct differences between compared pricing models. Additionally, focusing on the same pricing model with different volatility processes results in the conclusion that point-estimate, not averaged process of RV is the main reason of high errors and instability of valuation in high volatility environment. Finally, we have been able to detect “spurious outliers” and explain their effect and the reason for them owing to the multi-dimensional comparison of the pricing error statistics." @default.
- W3121841238 created "2021-02-01" @default.
- W3121841238 creator A5085733167 @default.
- W3121841238 date "2010-01-01" @default.
- W3121841238 modified "2023-09-27" @default.
- W3121841238 title "Option Pricing Models with HF Data - a Comparative Study. The Properties of Black Model with Different Volatility Measures*" @default.
- W3121841238 cites W1495458980 @default.
- W3121841238 cites W1502052458 @default.
- W3121841238 cites W1503295912 @default.
- W3121841238 cites W1523151078 @default.
- W3121841238 cites W1524341257 @default.
- W3121841238 cites W1594842258 @default.
- W3121841238 cites W2008855712 @default.
- W3121841238 cites W2040728173 @default.
- W3121841238 cites W2045144032 @default.
- W3121841238 cites W2050067494 @default.
- W3121841238 cites W2064829868 @default.
- W3121841238 cites W2064978316 @default.
- W3121841238 cites W2070748060 @default.
- W3121841238 cites W2077791698 @default.
- W3121841238 cites W2111154541 @default.
- W3121841238 cites W2113883339 @default.
- W3121841238 cites W2117272083 @default.
- W3121841238 cites W2118854883 @default.
- W3121841238 cites W2122186938 @default.
- W3121841238 cites W2129220488 @default.
- W3121841238 cites W2148080284 @default.
- W3121841238 cites W2604667099 @default.
- W3121841238 cites W2952934008 @default.
- W3121841238 cites W3121239128 @default.
- W3121841238 cites W3121709065 @default.
- W3121841238 cites W3121720716 @default.
- W3121841238 cites W3122171894 @default.
- W3121841238 cites W3124187578 @default.
- W3121841238 cites W3124413522 @default.
- W3121841238 cites W3124484549 @default.
- W3121841238 cites W3124634360 @default.
- W3121841238 cites W3124896067 @default.
- W3121841238 cites W3125367021 @default.
- W3121841238 cites W760091984 @default.
- W3121841238 cites W3016894431 @default.
- W3121841238 hasPublicationYear "2010" @default.
- W3121841238 type Work @default.
- W3121841238 sameAs 3121841238 @default.
- W3121841238 citedByCount "0" @default.
- W3121841238 crossrefType "posted-content" @default.
- W3121841238 hasAuthorship W3121841238A5085733167 @default.
- W3121841238 hasConcept C105795698 @default.
- W3121841238 hasConcept C13290067 @default.
- W3121841238 hasConcept C149782125 @default.
- W3121841238 hasConcept C162324750 @default.
- W3121841238 hasConcept C163128081 @default.
- W3121841238 hasConcept C173921975 @default.
- W3121841238 hasConcept C194483076 @default.
- W3121841238 hasConcept C24189920 @default.
- W3121841238 hasConcept C33923547 @default.
- W3121841238 hasConcept C41008148 @default.
- W3121841238 hasConcept C79337645 @default.
- W3121841238 hasConcept C91602232 @default.
- W3121841238 hasConcept C97256817 @default.
- W3121841238 hasConceptScore W3121841238C105795698 @default.
- W3121841238 hasConceptScore W3121841238C13290067 @default.
- W3121841238 hasConceptScore W3121841238C149782125 @default.
- W3121841238 hasConceptScore W3121841238C162324750 @default.
- W3121841238 hasConceptScore W3121841238C163128081 @default.
- W3121841238 hasConceptScore W3121841238C173921975 @default.
- W3121841238 hasConceptScore W3121841238C194483076 @default.
- W3121841238 hasConceptScore W3121841238C24189920 @default.
- W3121841238 hasConceptScore W3121841238C33923547 @default.
- W3121841238 hasConceptScore W3121841238C41008148 @default.
- W3121841238 hasConceptScore W3121841238C79337645 @default.
- W3121841238 hasConceptScore W3121841238C91602232 @default.
- W3121841238 hasConceptScore W3121841238C97256817 @default.
- W3121841238 hasLocation W31218412381 @default.
- W3121841238 hasOpenAccess W3121841238 @default.
- W3121841238 hasPrimaryLocation W31218412381 @default.
- W3121841238 hasRelatedWork W104873725 @default.
- W3121841238 hasRelatedWork W1545928614 @default.
- W3121841238 hasRelatedWork W2030034478 @default.
- W3121841238 hasRelatedWork W2044838240 @default.
- W3121841238 hasRelatedWork W2089596486 @default.
- W3121841238 hasRelatedWork W2109502247 @default.
- W3121841238 hasRelatedWork W2115719767 @default.
- W3121841238 hasRelatedWork W2125385905 @default.
- W3121841238 hasRelatedWork W2142712849 @default.
- W3121841238 hasRelatedWork W2278922349 @default.
- W3121841238 hasRelatedWork W2578663297 @default.
- W3121841238 hasRelatedWork W2589277054 @default.
- W3121841238 hasRelatedWork W3121200937 @default.
- W3121841238 hasRelatedWork W3121509336 @default.
- W3121841238 hasRelatedWork W3122410973 @default.
- W3121841238 hasRelatedWork W3125072182 @default.
- W3121841238 hasRelatedWork W3125425641 @default.
- W3121841238 hasRelatedWork W3204658926 @default.
- W3121841238 hasRelatedWork W608977153 @default.
- W3121841238 hasRelatedWork W69198584 @default.
- W3121841238 isParatext "false" @default.
- W3121841238 isRetracted "false" @default.
- W3121841238 magId "3121841238" @default.
- W3121841238 workType "article" @default.