Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/emerald-publishing/research-in-market-calibrated-option-pricing-analysis-QGjXKkJmlJ
References (90)
-
R. Merton (1976)
Option pricing when underlying stock returns are discontinuousJournal of Financial Economics, 3
-
S. Heston (1993)
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency OptionsReview of Financial Studies, 6
-
E. Stein, J. Stein (1991)
Stock Price Distributions with Stochastic Volatility: An Analytic ApproachReview of Financial Studies, 4
-
Maria Ferreira, Vinicius Sobreiro, H. Kimura, Flavio Barboza (2016)
A systematic review of literature about finance and sustainabilityJournal of Sustainable Finance & Investment, 6
-
A. Boness (1964)
Elements of a Theory of Stock-Option ValueJournal of Political Economy, 72
-
J. Fernández, A. Ferreiro, J. García-Rodríguez, Álvaro Leitao, J. López-Salas, C. Vázquez (2013)
Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUsMath. Comput. Simul., 94
-
R. Merton (1973)
AN INTERTEMPORAL CAPITAL ASSET PRICING MODELEconometrica, 41
-
K. Arrow (1986)
Rationality of Self and Others in an Economic SystemThe Journal of Business, 59
-
E. Jones, J. Neuberger, N. Bergasa (2002)
Opiate antagonist therapy for the pruritus of cholestasis: the avoidance of opioid withdrawal-like reactions.QJM : monthly journal of the Association of Physicians, 95 8
-
E. Haug, N. Taleb (2010)
Option traders use (very) sophisticated heuristics, never the Black- Scholes-Merton formula 1 -
10.1017/CBO9781107415324.004
-
H. Johnson, D. Shanno (1987)
Option Pricing when the Variance Is ChangingJournal of Financial and Quantitative Analysis, 22
-
Joost Driessen, Pascal Maenhout (2007)
An Empirical Portfolio Perspective on Option Pricing AnomaliesReview of Finance, 11
-
H. Hesse, N. Frank (2009)
The effectiveness of Central bank interventions during the first phase of the subprime crisisIMF Working Papers, 9
-
Wensheng Dai, Jui-Yu Wu, Chi-Jie Lu (2012)
Combining nonlinear independent component analysis and neural network for the prediction of Asian stock market indexesExpert Syst. Appl., 39
-
Option pricing: a review
Journal of Financial Economics, 3
-
Muris Junior, Moacir Filho (2010)
Variations of the kanban system: Literature review and classificationInternational Journal of Production Economics, 125
-
C. Jabbour (2013)
Environmental training in organisations: From a literature review to a framework for future researchResources Conservation and Recycling, 74
-
S. Das, S. Padhy (2017)
A new hybrid parametric and machine learning model with homogeneity hint for European-style index option pricingNeural Computing and Applications, 28
-
Peter Christoffersen, Bruno Feunou, Yoontae Jeon (2015)
Option Valuation with Observable Volatility and Jump DynamicsUniversity of Toronto - Rotman School of Management Research Paper Series
-
Samer Saade (2015)
Investor sentiment and the underperformance of technology firms initial public offeringsResearch in International Business and Finance, 34
-
A systematic review of literature about leadership and organization
Research Journal of Business Management, 13
-
Option valuation with observable volatility and jump dynamics
Journal of Banking and Finance, 61
-
Investor sentiment and option prices
Review of Financial Studies, 21
-
(2018)
Elon musk deletes tesla, SpaceX facebook inc (FB) pages -
Zhengwen Liao, J. Wang (2008)
Forecasting model of global stock index by stochastic time effective neural networkExpert Syst. Appl., 37
-
Volatility and expected option returns: a note
Economics Letters, 152
-
Xiaotian Zhu, Hong Wang, Li Xu, Huaizu Li (2008)
Predicting stock index increments by neural networks: The role of trading volume under different horizonsExpert Syst. Appl., 34
-
A. Drăgulescu, V. Yakovenko (2002)
Probability distribution of returns in the Heston model with stochastic volatilityQuantitative Finance, 2
-
David Bates (2003)
Empirical option pricing: a retrospectionJournal of Econometrics, 116
-
S. Seuring (2013)
A review of modeling approaches for sustainable supply chain managementDecis. Support Syst., 54
-
J. Jackwerth (1998)
Recovering Risk Aversion from Option Prices and Realized ReturnsDerivatives eJournal
-
Does net buying pressure affect the shape of implied volatility functions?
The Journal of Finance, 59
-
L. Harris, Eitan Gurel (1986)
Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price PressuresJournal of Finance, 41
-
F. Mehrdoust, A. Sheikhani, M. Mashoof, S. Hasanzadeh (2017)
Block-pulse operational matrix method for solving fractional Black-Scholes equationJournal of Economic Studies, 44
-
D. Tranfield, D. Denyer, P. Smart (2003)
Towards a Methodology for Developing Evidence-Informed Management Knowledge by Means of Systematic ReviewBritish Journal of Management, 14
-
R. Merton, André Perold (1993)
THEORY OF RISK CAPITAL IN FINANCIAL FIRMSJournal of Applied Corporate Finance, 6
-
Kent Miller, H. Waller (2003)
Scenarios, Real Options and Integrated Risk ManagementLong Range Planning, 36
-
M. Abbod, F. Hamdy, D. Linkens, J. Catto (2009)
Predictive modeling in cancer: where systems biology meets the stock marketExpert Review of Anticancer Therapy, 9
-
Louis Scott (1987)
Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an ApplicationJournal of Financial and Quantitative Analysis, 22
-
P. Boyle (1977)
Options: A Monte Carlo approachJournal of Financial Economics, 4
-
Fajiang Liu, Jui-Pin Wang (2012)
Fluctuation prediction of stock market index by Legendre neural network with random time strength functionNeurocomputing, 83
-
Heiko Hesse, Nathaniel Frank (2009)
The Effectiveness of Central Bank Interventions During the First Phase of the Subprime CrisisHistory of Finance eJournal
-
Bing Han (2005)
Investor Sentiment and Option PricesFEN: Behavioral Finance (Topic)
-
Jie Cao, Bing Han (2012)
Cross-Section of Option Returns and Idiosyncratic Stock VolatilityAmerican Finance Association Meetings (AFA)
-
(2011)
A proposal of hybrid Kansei-Som model for stock market investment -
Option pricing and ARCH processes
Finance Research Letters, 9
-
R. Merton (2015)
Theory of Rational Option PricingWorld Scientific Reference on Contingent Claims Analysis in Corporate Finance
-
Interest rate volatility and risk management: evidence from CBOE treasury options
Quarterly Review of Economics and Finance, 68
-
Theory of rational option pricing
The Bell Journal of Economics and Management Science, 4
-
U. Çetin, H. Soner, N. Touzi (2010)
Option hedging for small investors under liquidity costsFinance and Stochastics, 14
-
P. Davies (2000)
The Relevance of Systematic Reviews to Educational Policy and PracticeOxford Review of Education, 26
-
R. Merton (1973)
THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES: COMMENTJournal of Finance, 28
-
Raphael Markellos, Dimitris Psychoyios (2013)
Interest Rate Volatility and Risk Management: Evidence from CBOE Treasury OptionsChicago Booth Fama-Miller: Asset Pricing (Topic)
-
F. Longstaff, Eduardo Schwartz (2001)
Valuing American Options by Simulation: A Simple Least-Squares ApproachThe Finance
-
H. Dichtl, W. Drobetz (2011)
Portfolio insurance and prospect theory investors: Popularity and optimal design of capital protected financial productsFuel and Energy Abstracts
-
Michael Cliff, Gregory Brown (2001)
Investor Sentiment and the Near-Term Stock MarketFEN: Behavioral Finance (Topic)
-
J. Duan (1995)
THE GARCH OPTION PRICING MODELMathematical Finance, 5
-
Maarten IJzerman, L. Steuten (2011)
Early assessment of medical technologies to inform product development and market accessApplied Health Economics and Health Policy, 9
-
G. Zumbach (2012)
Option Pricing and ARCH ProcessesDerivatives eJournal
-
F. Black, Myron Scholes (1973)
The Pricing of Options and Corporate LiabilitiesJournal of Political Economy, 81
-
Dion Bongaerts, Frank Jong, Joost Driessen (2009)
Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap MarketDerivatives
-
Her-Jiun Sheu, Yu-Chen Wei (2011)
Effective options trading strategies based on volatility forecasting recruiting investor sentimentExpert Syst. Appl., 38
-
Price and volume effects associated with changes in the S&P 500 list: new evidence for the existence of price pressures
The Journal of Finance, 41
-
Investor sentiment and the near-term stock market
Journal of Empirical Finance, 11
-
Some anomalous evidence regarding market efficiency
Journal of Financial Economics, 6
-
Gaurav Talan, G. Sharma (2019)
Doing Well by Doing Good: A Systematic Review and Research Agenda for Sustainable InvestmentSustainability
-
J. Parkinson, K. Eccles, A. Goodman (2014)
Positive impact by design: The Wales Centre for Behaviour ChangeThe Journal of Positive Psychology, 9
-
J. Cox, J. Ingersoll, S. Ross (1985)
A theory of the term structure of interest rates'', Econometrica 53, 385-407 -
R. Carmona, P. Moral, Peng Hu, N. Oudjane (2012)
An Introduction to Particle Methods with Financial Applications, 12
-
(1994)
Riding on a smile -
M. Jensen (1978)
Some Anomalous Evidence Regarding Market EfficiencyCapital Markets: Market Efficiency
-
J. Cohen, F. Black, Myron Scholes (1972)
The Valuation of Option Contracts and a Test of Market EfficiencyJournal of Finance, 27
-
Mo Chaudhury (2016)
Volatility and Expected Option Returns: A NoteCapital Markets: Asset Pricing & Valuation eJournal
-
F. Black, E. Derman, W. Toy (1990)
A One-Factor Model of Interest Rates and Its Application to Treasury Bond OptionsFinancial Analysts Journal, 46
-
James Paddock, D. Siegel, James Smith (1988)
Option Valuation of Claims on Real Assets: The Case of Offshore Petroleum LeasesQuarterly Journal of Economics, 103
-
Investor sentiment in the stock market
Journal of Economic Perspectives, 21
-
Ramani Gade, M. Tulasi, V. Bhai
SEAWEEDS : A NOVEL BIOMATERIAL -
Recovering risk aversion from option prices and realized returns
Review of Financial Studies, 13
-
M. Broadie, J. Detemple (2004)
ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and ApplicationsManag. Sci., 50
-
James Wiggins (1987)
Option values under stochastic volatility: Theory and empirical estimatesJournal of Financial Economics, 19
-
H. Mo, Jun Wang (2013)
Volatility Degree Forecasting of Stock Market by Stochastic Time Strength Neural NetworkMathematical Problems in Engineering, 2013
-
S. Chakravarty, P. Dash (2012)
A PSO based integrated functional link net and interval type-2 fuzzy logic system for predicting stock market indicesAppl. Soft Comput., 12
-
R. Jarrow (2009)
Credit Risk ModelsReview of Financial Economics, 1
-
J. Hull, Alan White (1987)
The Pricing of Options on Assets with Stochastic VolatilitiesJournal of Finance, 42
-
J. Cox, S. Ross, M. Rubinstein. (1979)
Option pricing: A simplified approach☆Journal of Financial Economics, 7
-
Nicolas Bollen, R. Whaley (2002)
Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?Vanderbilt: Finance (Topic)
-
J. Cox, S. Ross (1976)
The valuation of options for alternative stochastic processesJournal of Financial Economics, 3
-
M. Rubinstein. (1994)
Implied Binomial TreesJournal of Finance, 49
-
Yao Zheng (2015)
The linkage between aggregate investor sentiment and metal futures returns: A nonlinear approachThe Quarterly Review of Economics and Finance, 58
- Publisher
- Emerald Publishing
- Copyright
- © Emerald Publishing Limited
- ISSN
- 1755-4179
- DOI
- 10.1108/qrfm-01-2019-0004
- Publisher site
- See Article on Publisher Site
Abstract
This paper aims to consolidate and review the literature in the field of market-calibrated option pricing analysis. By doing so, the paper brings out the gaps in the extant literature and makes suggestions for future researchers in the field.Design/methodology/approachThe methodology used in this research is inspired by the works of Ferreira et al. (2016), Jabbour (2013), Lage Junior and Godinho Filho (2010), Seuring (2013) and Sharma et al. (2018). A total of 1,500 papers written on the pricing of options globally are collated from the Web of Science ranging across 2010-2018.FindingsMost of the research papers present mathematical proposals to value options; without calibrating it with real market data points. The authors bring out five important gaps in the extant literature.Originality/valueThis is arguably the first study that consolidates the literature in the field of market calibrated option pricing analysis with a view to suggest directions for future researchers.
Journal
Qualitative Research in Financial Markets – Emerald Publishing
Published: Apr 24, 2020
Keywords: Options; Web of science; Market-calibration