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Keywords: Option-pricing models
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Journal Articles
Pricing competitiveness of jump-diffusion option pricing models: evidence from recent financial upheavals
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Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2015) 32 (3): 357–378.
Published: 03 August 2015
...Vipul Kumar Singh Purpose – The purpose of this paper is to investigate empirically the forecasting performance of jump-diffusion option pricing models of (Merton and Bates) with the benchmark Black–Scholes (BS) model relative to market, for pricing Nifty index options of India. The specific...
