Parameter Estimation of Local Volatility in Currency Option Valuation

2016 ◽  
Vol 9 (2) ◽  
pp. 130 ◽  
Author(s):  
S. O. Edeki ◽  
M. E. Adeosun ◽  
E. A. Owoloko ◽  
G. O. Akinlabi ◽  
I. Adinya
Keyword(s):  
Parameter Estimation ◽  
Option Valuation ◽  
Local Volatility ◽  
Currency Option

Abstract: Option Valuation Models–Some Implications of Parameter Estimation

1977 ◽  
Vol 12 (4) ◽  
pp. 667-667
Author(s):  
P. P. Boyle ◽  
A. L. Ananthanarayan
Keyword(s):  
Parameter Estimation ◽  
Option Pricing ◽  
Stock Prices ◽  
Unbiased Estimate ◽  
Estimation Error ◽  
Option Price ◽  
Nonlinear Function ◽  
Option Valuation ◽  
Black Scholes ◽  
Parameter Values

The Black-Scholes option pricing formula assumes that the variance of the return on the underlying stock is known with certainty. In practice an estimate of the variance, based on a sample of historical stock prices, is used. The estimation error in the variance induces error in the option price. Since the option price is a nonlinear function of the variance, an unbiased estimate of the variance does not produce an unbiased estimate of the option price. For reasonable parameter values, it is shown that the magnitude of the bias is not large.

A Numerical Approach to American Currency Option Valuation

2001 ◽  
Vol 9 (2) ◽  
pp. 19-29 ◽  
Author(s):  
Seungmook Choi ◽  
Michael D. Marcozzi
Keyword(s):  
Numerical Approach ◽  
Option Valuation ◽  
Currency Option

scholarly journals The Effectiveness of a Predictor-corrector Technique in European Currency Option Valuation

2019 ◽  
Vol 24 (4) ◽  
pp. 1-7
Author(s):  
Sang Woo Heo ◽  
Jinsuk Yang ◽  
SeungCheol Lim ◽  
Peter Cashel-Cordo
Keyword(s):  
Option Valuation ◽  
European Currency ◽  
Currency Option ◽  
Predictor Corrector

Weighted Combination of Prior and Sample Information and Parameter Estimation

Optimization ◽  
1976 ◽  
Vol 7 (5) ◽  
pp. 665-672
Author(s):  
H. Burke ◽  
C. Hennig ◽  
W H. Schmidt
Keyword(s):  
Parameter Estimation ◽  
Sample Information ◽  
Weighted Combination

Sequential accuracy in parameter estimation for population correlation coefficients.

2019 ◽  
Vol 24 (4) ◽  
pp. 492-515 ◽  
Author(s):  
Ken Kelley ◽  
Francis Bilson Darku ◽  
Bhargab Chattopadhyay
Keyword(s):  
Parameter Estimation ◽  
Correlation Coefficients ◽  
Population Correlation
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