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Non-linear estimates of the Black-Scholes option pricing model using online agent-based data

Non-linear estimates of the Black-Scholes option pricing model using online agent-based data This paper specifies and estimates an option price model using non-linear, Seemingly Unrelated Regression (SUR) technique that allows for the incorporation of cross equation correlations and other generalisations. Our results do suggest that this generalisation improves the efficiency of the parameter estimates. The short duration options in the Indian financial market managed online through a mobile agent and distributed network management system can also work as a complementary technique in empirical work and parameter estimation in financial markets. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png International Journal of Electronic Finance Inderscience Publishers

Non-linear estimates of the Black-Scholes option pricing model using online agent-based data

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Publisher
Inderscience Publishers
Copyright
Copyright © Inderscience Enterprises Ltd. All rights reserved
ISSN
1746-0069
eISSN
1746-0077
DOI
10.1504/IJEF.2010.033305
Publisher site
See Article on Publisher Site

Abstract

This paper specifies and estimates an option price model using non-linear, Seemingly Unrelated Regression (SUR) technique that allows for the incorporation of cross equation correlations and other generalisations. Our results do suggest that this generalisation improves the efficiency of the parameter estimates. The short duration options in the Indian financial market managed online through a mobile agent and distributed network management system can also work as a complementary technique in empirical work and parameter estimation in financial markets.

Journal

International Journal of Electronic FinanceInderscience Publishers

Published: Jan 1, 2010

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