{"product_id":"black-scholes-and-augmented-option-pricing-models-von-peter-oconnor","title":"Black-Scholes and Augmented Option Pricing Models","description":"\u003cp\u003eThe Black-Scholes model was a revelation and took a  large step forward in terms of mathematical  application in quantitative finance. An empirical trait is that the model has generally  been used by practitioners in an ad-hoc fashion.  This may explain why actual option prices have  rarely converged to respective Black-Scholes  estimates. Empirical options research has  highlighted systematic biases within the model and  has attempted to correct for these by proposing  models that offer greater consistency in both  internal processes and pricing performance. In this  thesis, we explore the fundamental reasons for  failure in the Black-Scholes and analyse the benefit of augmenting the model for processes that may be more consistent with the real world. We place  emphasis on consistency between the option-implicit distribution of the underlying asset and the actual implicit distribution of the underlying asset. Using  a three year FTSE 100 option dataset, we  quantitatively examine the pricing consistency and  reliability of such augmented models.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783838378312\"\u003e\u003ch3\u003eAn Examination of the Black-Scholes and Augmented Option Pricing Models: An Empirical Analysis\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783838378312","offer_id":39469251952733,"sku":"9783838378312","price":49.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/f64fc16b-e536-4328-825d-05e63e2de10a.jpg?v=1776055974","url":"https:\/\/shop.autorenwelt.de\/products\/black-scholes-and-augmented-option-pricing-models-von-peter-oconnor","provider":"Autorenwelt Shop","version":"1.0","type":"link"}