scholarly journals Estimating Fair Premium Rates for Deposit Insurance Using Option Pricing Theory -- An Empirical Study on Japanese Banks --

1998 ◽  
Author(s):  
Nobuyuki Oda
Keyword(s):  
Empirical Study ◽  
Option Pricing ◽  
Deposit Insurance ◽  
Pricing Theory ◽  
Premium Rates ◽  
Option Pricing Theory ◽  
Fair Premium

Louis Bachelier: The Father of Modern Option Pricing Theory

1991 ◽  
Vol 22 (2) ◽  
pp. 165-171 ◽  
Author(s):  
Edward J. Sullivan ◽  
Timothy M. Weithers
Keyword(s):  
Option Pricing ◽  
Pricing Theory ◽  
Option Pricing Theory

scholarly journals OPTION PRICING IN MARKETS WITH INFORMED TRADERS

2020 ◽  
Vol 23 (06) ◽  
pp. 2050037 ◽  
Author(s):  
Yuan Hu ◽  
Abootaleb Shirvani ◽  
Stoyan Stoyanov ◽  
Young Shin Kim ◽  
Frank J. Fabozzi ◽  
...  
Keyword(s):  
Option Pricing ◽  
Stock Price ◽  
Stock Return ◽  
Asset Pricing Theory ◽  
Black Scholes ◽  
Informed Traders ◽  
Pricing Theory ◽  
Option Pricing Theory ◽  
Information Intensity ◽  
Dynamic Asset Pricing

The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new models for option pricing for informed traders in complete markets, where we consider traders with information on the stock price direction and stock return mean. The Black–Scholes–Merton option pricing theory is extended for markets with informed traders, where price processes are following continuous-diffusions. By doing so, the discontinuity puzzle in option pricing is resolved. Using market option data, we estimate the implied surface of the probability for a stock upturn, the implied mean stock return surface, and implied trader information intensity surface.

Option Pricing Theory and Firm Valuation

2010 ◽  
pp. 377-392
Author(s):  
Cheng Few Lee ◽  
Joseph E. Finnerty ◽  
Wei-Kang Shih
Keyword(s):  
Option Pricing ◽  
Firm Valuation ◽  
Pricing Theory ◽  
Option Pricing Theory
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