Alternatives to the Black-Scholes model
Master Thesis
2001
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University of Cape Town
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Abstract
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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Bibliography: leaves 44-45.
Reference:
Durrell, F. 2001. Alternatives to the Black-Scholes model. University of Cape Town.