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Option pricing and uncertainties in the Black-Scholes model

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Authors
Kostensalo, Joel
Date
2019
Discipline
MatematiikkaMathematics
Copyright
This publication is copyrighted. You may download, display and print it for Your own personal use. Commercial use is prohibited.

 
The pricing of European call options traded on the Chicago Board of Options Exchange (CBOE) is studied in the Black-Scholes model. A method for treating uncertainties in option prices based on the propagation of uncertainties is presented. Practically implementable formulas for the uncertainties are derived. The Black-Scholes prices with uncertainties are compared to SPX options, where the underlying asset is the Standard\&Poor 500 index consisting of 500 large US based companies, sold on the CBOE. Possible arbitrage opportunities for certain strike prices and maturities are found, showing that real markets may have pricing issues.
Keywords
epävarmuus hinnoittelu rahoitusmarkkinat optiot hintakehitys uncertainty pricing financial markets options (securities) price development
URI

http://urn.fi/URN:NBN:fi:jyu-201911084797

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  • Pro gradu -tutkielmat [25581]

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