Dynamic Volatility and Option Valuation

Sarit Maitra ()
Additional contact information
Sarit Maitra: Alliance University—Central Campus, Chikkahadage Cross Chandapura-Anekal

Chapter Chapter 4 in Non-Linearity in Econometric Modeling, Vol. 1, 2025, pp 121-157 from Springer

Abstract: Abstract This chapter explores both the theoretical and practical aspects of option pricing, focusing on the Black-Scholes model, Binomial Tree method, and the critical role of the yield curve in determining discount rates. It emphasizes advanced volatility modeling techniques, including GARCH, to capture the nonlinear and dynamic nature of financial markets. While traditional models like Black-Scholes assume constant volatility, this chapter demonstrates how integrating volatility forecasts and alternative pricing methods leads to more accurate valuations and better risk assessment. Through detailed analysis of option prices, Greeks, and sensitivity to market factors, the chapter provides a comprehensive framework for understanding and applying modern option pricing tools.

Date: 2025
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:dymchp:978-3-032-06462-2_4

Ordering information: This item can be ordered from
http://www.springer.com/9783032064622

DOI: 10.1007/978-3-032-06462-2_4

Access Statistics for this chapter

More chapters in Dynamic Modeling and Econometrics in Economics and Finance from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().