On the pricing of illiquid options with Black-Scholes formula

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86090780" target="_blank" >RIV/61989100:27510/14:86090780 - isvavai.cz</a>
Alternative codes found
RIV/67985556:_____/14:00437675
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
On the pricing of illiquid options with Black-Scholes formula
Original language description
Detecting the fair, ie. no-arbitrage, price of an option is a very interesting and challenging task of quantitative finance. It results mostly from the fact that the option payoff is nonlinear and the price can be very sensitive to the changes of underlying factors (especially ATM options). From the other point of view, ATM vanilla options are often traded and liquid, while deep ITM and OTM options are mostly illiquid and it is difficult to estimate the model parameters. Another issue is how to obtain the market assumptions about riskless rate relevant for the option maturity and the future expected dividends. In this paper we focus on a particular problem of extracting parameters to value options on dividend paying stocks via BS model using real datafrom German option market.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Managing and Modeling of Financial Risks : 7th international scientific conference : proceedings : 8th-9th September 2014, Ostrava, Czech Republic. [Part I-III]
ISBN
978-80-248-3631-7
ISSN
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e-ISSN
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Number of pages
8
Pages from-to
610-617
Publisher name
VŠB-Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 8, 2014
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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