Non-linear estimates of the Black-Scholes option pricing model using online agent-based data

Amaresh Das

International Journal of Electronic Finance, 2010, vol. 4, issue 2, 190-199

Abstract: This paper specifies and estimates an option price model using non-linear, Seemingly Unrelated Regression (SUR) technique that allows for the incorporation of cross equation correlations and other generalisations. Our results do suggest that this generalisation improves the efficiency of the parameter estimates. The short duration options in the Indian financial market managed online through a mobile agent and distributed network management system can also work as a complementary technique in empirical work and parameter estimation in financial markets.

Keywords: Black-Scholes option pricing model; nonlinear SUR; seemingly unrelated regression; Q-H-C; quadratic hill climbing; implied volatility; e-finance; electronic finance; positive definite; eigenvalue; Borel subset; non-singular; bounded functional; India; mobile agents; multi-agent systems; MAS; agent-based systems; distributed network management; financial markets. (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijelfi:v:4:y:2010:i:2:p:190-199

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