Performance of alternative option pricing models during spikes in the FTSE 100 volatility index : Empirical evidence from FTSE100 index options
Derivatives have a large and significant role on the financial markets today and the popularity of options has increased. This has also increased the demand of finding a suitable option pricing model, since the ground-breaking model developed by Black & Scholes (1973) have poor pricing perfo...
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| Format: | Others |
| Language: | English |
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Linköpings universitet, Institutionen för ekonomisk och industriell utveckling
2017
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-139718 |