AN INVITATION TO MARKET-BASED OPTION PRICING AND ITS APPLICATIONS(<Special Issue>the 50th Anniversary of the Operations Research Society of Japan)

DOI10.15807/JORSJ.50.488MaRDI QIDQ5385048zbMATH OpenOpenAlexFDO

Authors Koichi Miyazaki

Publication date 29 April 2008

Published in Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL https://doi.org/10.15807/jorsj.50.488

zbMATH Keywords

characteristic functiondeterministic volatilityfast Fourier transformfinanceimplied treejumpmarket-based option pricingmodel-freeNIKKEI225 optionstochastic volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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(11)

• The effect of non-ideal market conditions on option pricing
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• A generalization of option pricing to price-limit markets
• Option pricing methods in the city of London during the late 19th century
• Monte Carlo option pricing under simplified self-financing condition
• Theoretical models of option pricing and empirical analysis
• Review: option pricing models
• Shout options: A framework for pricing contracts which can be modified by the investor
• Financial events risk assessment based on historical data analysis
• Empirical study of Nikkei 225 options with the Markov switching GARCH model
• Unlocking the black box: non-parametric option pricing before and during COVID-19

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