Empirical performance of three option pricing models

This thesis empirically analyses and compares the performance of three option pricing models regarding their efficiency replicating market prices. The models Black and Scholes (1973) and Merton (1973), Constant Elasticity of Variance (1975) and Heston (1993) were applied on MATLAB so financial optio...

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Bibliographic Details
Main Author: Pinto, Vitor Hugo Ferreira (author)
Format: masterThesis
Language:eng
Published: 2019
Subjects:
Option pricing model
Black-Scholes-Merton model
Heston model
Constant elasticity of variance model
Mercado financeiro
Modelos matemáticos
Modelo de Black-Scholes
Online Access:http://hdl.handle.net/10071/17877
Country:Portugal
Oai:oai:repositorio.iscte-iul.pt:10071/17877

Internet

http://hdl.handle.net/10071/17877

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