Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/7701
Title: Estimating option prices using log-gamma model.
Authors: Tan, Catherine Khee Chang.
Chan, Chee Foong.
Keywords: DRNTU::Business::Finance::Options
Issue Date: 2002
Abstract: Following the major breakthrough by Fisher Black, Myron Scholes and Robert Merton with the development of the Black-Scholes model, pricing and hedging of options have since been largely influenced by this model. In this paper, we study the pricing errors of options using the log-gamma process and a comparison analysis will be performed against the Black-Scholes model.
URI: http://hdl.handle.net/10356/7701
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Theses

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