Please use this identifier to cite or link to this item:
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.
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Theses

Files in This Item:
File Description SizeFormat 
  Restricted Access
4.03 MBAdobe PDFView/Open

Page view(s)

Updated on Dec 1, 2020


Updated on Dec 1, 2020

Google ScholarTM


Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.