Home
This Title All WIREs
WIREs RSS Feed
How to cite this WIREs title:
WIREs Comp Stat

Option prices and pricing theory: combining financial mathematics with statistical modeling

Full article on Wiley Online Library:   HTML PDF

Can't access this content? Tell your librarian.

Abstract After an overview of important developments of option pricing theory, this article describes statistical approaches to modeling the difference between the theoretical and actual prices. An empirical study is given to compare various approaches. WIREs Comp Stat 2011 3 566–576 DOI: 10.1002/wics.186 This article is categorized under: Applications of Computational Statistics > Computational Finance

S&P 500 futures prices from December 19, 1987, to December 18, 2008. Only the price of the futures contract that is closest to its expiration is plotted. The vertical axis is in the logarithmic scale.

[ Normal View | Magnified View ]

Historic volatility, at‐the‐money implied volatility and calibrated volatility for the S&P 500 futures and futures option data from December 19, 1987, to December 18, 2008. Implied volatility is calculated for the option that has the smallest log moneyness among the options that are closest to their expiration dates.

[ Normal View | Magnified View ]

Browse by Topic

Applications of Computational Statistics > Computational Finance

Access to this WIREs title is by subscription only.

Recommend to Your
Librarian Now!

The latest WIREs articles in your inbox

Sign Up for Article Alerts