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Clifford S. Ang
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Clifford S. Ang: Compass Lexecon

Chapter Chapter 10 in Analyzing Financial Data and Implementing Financial Models Using R, 2021, pp 329-362 from Springer

Abstract: Abstract This chapter demonstrates how to analyze options data. We show how to analyze data from the Chicago Board of Options Exchange (CBOE). Next, we show how to implement the Black–Scholes–Merton and Binomial Options Pricing Models by Cox, Ross, and Rubinstein. We then discuss the calculation of implied volatilities. We end the chapter by showing ways to estimate the value of American options, using the Cox, Ross, and Rubinstein model and the Bjerksund–Stensland approximation.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-030-64155-9_10

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DOI: 10.1007/978-3-030-64155-9_10

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