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dc.contributor.authorStratmann, Manuel
dc.date.accessioned2014-03-03T21:27:02Z
dc.date.available2014-03-03T21:27:02Z
dc.date.issued2004-08
dc.identifier.otherstratmann_manuel_200408_ma
dc.identifier.urihttp://purl.galileo.usg.edu/uga_etd/stratmann_manuel_200408_ma
dc.identifier.urihttp://hdl.handle.net/10724/21995
dc.description.abstractSince the 1987 stock market crash, the Black-Scholes option pricing model gives rise to more significant biases. Several alternative models aim to overcome this weakness. They are presented in the first part of this thesis. However, none of these models are fully capable of explaining observed option market prices. Other explanations have been advanced and give some additional insight to the world of options. The second part of the thesis provides an overview of related empirical developments to date. A thorough understanding of option pricing models and related empirics proves to be important for different aspects of finance.
dc.languageeng
dc.publisheruga
dc.rightspublic
dc.subjectBlack-Scholes model
dc.subjectOption pricing models
dc.subjectVolatility smile
dc.subjectRisk premia
dc.subjectImplied binomial trees
dc.titleOption pricing models and related empirics
dc.typeThesis
dc.description.degreeMA
dc.description.departmentBusiness Administration
dc.description.majorBusiness Administration
dc.description.advisorChris T. Stivers
dc.description.committeeChris T. Stivers
dc.description.committeeJames S. Linck
dc.description.committeeJohn T. Scruggs


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