Models of Option Pricing

Jia Shao, Nathan Lael Joseph and Ahmed A. El-Masry

Chapter 3 in Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives:In 4 Volumes, 2024, pp 117-170 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Starting from humble beginnings, the use of financial options has substantially increased as an important financial tool for both speculation and hedging over the last 50 years. This chapter discusses both the theoretical and practical applications of financial options and related models. While the content is somewhat technical, we provide illustrations of their applications in simple settings. We address particular stylized features of option pricing models.

Keywords: Financial Accounting; Financial Auditing; Mutual Funds; Hedge Funds; Asset Pricing; Options; Portfolio Analysis; Risk Management; Investment Analysis; Momentum Analysis; Behavior Analysis; Futures; Index Futures; CDCs; Financial Econometrics; Statistics; Financial Derivatives; Financial Accounting (search for similar items in EconPapers)
JEL-codes: G1 G11 G12 G3 M41 M42 (search for similar items in EconPapers)
Date: 2024
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