Pricing efficiency of short-term options
Giani, Bernardo (A.A. 2023/2024) Pricing efficiency of short-term options. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 67. [Master's Degree Thesis]
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Abstract/Index
Option pricing models. Options introduction. The Black-Scholes model. The Heston model. The Bates model. Implied volatility. Effects of model parameters on IV. IV estimation process. Empirical Analysis. Parameters estimation. Accuracy of fitness of models. Extensions of Presented Models. How to fix the highlighted shortcomings?
References
Bibliografia: pp. 63-64.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Econometric theory |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Morelli, Giacomo |
| Academic Year: | 2023/2024 |
| Session: | Autumn |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 22 May 2025 14:43 |
| Last Modified: | 22 May 2025 14:43 |
| URI: | https://tesi.luiss.it/id/eprint/42222 |
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