原创力文档black-scholes option pricing model modified to admit a miniscule drift can reproduce the volatility smile布莱克-斯科尔斯期权定价模型修改承认一个微乎其微的漂移可以再现波动微笑.pdfVIP
- 1、原创力文档（book118）网站文档一经付费（服务费），不意味着购买了该文档的版权，仅供个人/单位学习、研究之用，不得用于商业用途，未经授权，严禁复制、发行、汇编、翻译或者网络传播等，侵权必究。。
- 2、本站所有内容均由合作方或网友上传，本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺！文档内容仅供研究参考，付费前请自行鉴别。如您付费，意味着您自己接受本站规则且自行承担风险，本站不退款、不进行额外附加服务；查看《如何避免下载的几个坑》。如果您已付费下载过本站文档，您可以点击 这里二次下载。
- 3、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等，请点击“版权申诉”（推荐），也可以打举报电话：400-050-0827(电话支持时间：9:00-18:30)。
- 4、该文档为VIP文档，如果想要下载，成为VIP会员后，下载免费。
- 5、成为VIP后，下载本文档将扣除1次下载权益。下载后，不支持退款、换文档。如有疑问请联系我们。
- 6、成为VIP后，您将拥有八大权益，权益包括：VIP文档下载权益、阅读免打扰、文档格式转换、高级专利检索、专属身份标志、高级客服、多端互通、版权登记。
- 7、VIP文档为合作方或网友上传，每下载1次， 网站将根据用户上传文档的质量评分、类型等，对文档贡献者给予高额补贴、流量扶持。如果你也想贡献VIP文档。上传文档
查看更多
black-scholes option pricing model modified to admit a miniscule drift can reproduce the volatility smile布莱克-斯科尔斯期权定价模型修改承认一个微乎其微的漂移可以再现波动微笑
Applied Mathematics, 2012, 3, 597-605
/10.4236/am.2012.36093 Published Online June 2012 (http://www.SciRP.org/journal/am)
Black-Scholes Option Pricing Model Modified to Admit a
Miniscule Drift Can Reproduce the Volatility Smile
1 2*
Matthew C. Modisett , James A. Powell
1Financial Guard Ltd., London, UK
2Department of Mathematics and Statistics, Utah State University, Logan, USA
*
Email: jim.powell@
Received November 2, 2011; revised April 10, 2012; accepted May 17, 2012
ABSTRACT
This paper develops a closed-form solution to an extended Black-Scholes (EBS) pricing formula which admits an im-
plied drift parameter alongside the standard implied volatility. The market volatility smiles for vanilla call options on
the SP 500 index are recreated fitting the best volatility-drift combination in this new EBS. Using a likelihood ratio
test, the implied drift parameter is seen to be quite significant in explaining volatility smiles. The implied drift parame-
ter is sufficiently small to be undetectable via historical pricing analysis, suggesting that drift is best considered as an
implied parameter rather than a historically-fit one. An overview of option-pricing models is provided as background.
Keywords: Option Pricing; Black-Scholes; Volatility Smile
1. Introduction An option is a financial contract between a seller (or
writer) and a buyer, in which a buyer, in exchange for a
An often reite
您可能关注的文档
- bartonella infection in immunocompromised hosts immunology of vascular infection and vasoproliferation巴尔通氏体属感染免疫力低下宿主血管感染的免疫学和vasoproliferation.pdf
- baru almonds from different regions of the brazilian savanna implications on physical and nutritional characteristics巴鲁杏仁,巴西不同地区的草原生理和营养特性的影响.pdf
- baryon wave functions and free neutron decay in the scalar strong interaction hadron theory (ssi)重子波函数和标量强相互作用自由中子衰变强子理论(ssi).pdf
- baseline factors predictive of slt response a prospective study基线因素预测slt反应的前瞻性研究.pdf
- basement data of the terrestrial radionuclide level of abuja federal capital territory, (fct), nigeria地下室地面放射性核素的数据级别的联邦首都阿布贾,(fct),尼日利亚.pdf
- basic elements knowledge acquisition study in the chinese character intelligent formation system基本元素的知识获取研究汉字智能生成系统.pdf
- basal cell carcinoma from the molecular understanding of the pathogenesis to targeted therapy of progressive disease基底细胞癌的分子发病机制的理解进步疾病的靶向治疗.pdf
- basic experimental pancreatitis models for beginners对于初学者来说基本实验胰腺炎模型.pdf
- basic research – significance of detection and clinical impact of candida albicans in non-immunosuppressed patients基础研究,检测的意义和临床non-immunosuppressed患者的白色念珠菌的影响.pdf
- basic studies on life circumstances and stress in persons with congenital physical disabilities using always wheelchairs基本研究先天性身体残疾的人的生活环境和压力总是使用轮椅.pdf
- biweights and -homomorphisms of partial -algebrasbiweights和同态偏代数.pdf
- bk virus in kidney transplant recipients the influence of immunosuppressionbk病毒在肾移植受者免疫抑制的影响.pdf
- blank holder force control system driven by servo-motor压边力控制系统由伺服马达驱动.pdf
- black carbon instead of particle mass concentration as an indicator for the traffic related particles in the brussels capital region黑碳的粒子质量浓度作为指标交通相关的粒子在布鲁塞尔首都地区.pdf
- black hole interior from loop quantum gravity从圈量子引力黑洞内部.pdf
- blended change management concept and empirical investigation of blending patterns混合变更管理概念和实证调查的混合模式.pdf
- blaschke inductive limits of uniform algebrasblaschke归纳统一的代数的极限.pdf
- blending sensor scheduling strategy with particle filter to track a smart target混合传感器调度策略与粒子滤波跟踪一个聪明的目标.pdf
- blastomyces dermatitidis chitinase homology model, in silico docking, and inhibition assay皮炎芽生菌几丁质酶同源性模型,在硅片对接,抑制试验.pdf
- blindly inserted nasogastric feeding tubes and thoracic complications in intensive care盲目地插入胃饲管在重症监护和胸并发症.pdf
文档评论（0）