Browsing by Author "Durrell, Fernando"

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    Alternatives to the Black-Scholes model
    (2001) Durrell, Fernando; Ouwehand, Peter
    In this paper, I consider alternative models to the one posited by Black and Scholes. I consider discontinuous security price movements, non-constant volatility, and models very different from the Black-Scholes model. I found that most of the model prices for the close to at-the-money options are very different from the market prices. In general, the models did poorly in producing similar prices as the market.
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    Constrained portfolio selection with Markov and non-Markov processes and insiders
    (2007) Durrell, Fernando; Ouwehand, Peter; Abraham, Haim
    Word processed copy. Includes bibliographical references (p. 158-168).