Review of Option Pricing Literature and An Online Real-Time Option Pricing Application Development
Liu, Shu (2007) Review of Option Pricing Literature and An Online Real-Time Option Pricing Application Development. [Dissertation (University of Nottingham only)] (Unpublished)
The dissertation seeks to have an exploration into the most commonly used option pricing models. As we will see in the second chapters, the classic Black-Scholes model, the Jump Diffusion Model, Binomial Tree model, Monte-Carlo valuation and Finite Difference Method are widely used in option pricing. A significant number of empirical evidences in literature tested the validity of the models based on the historical data, rarely are based on the real-time data.
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