An Exploratory Viewpoint on the Perspectives and Practices of Testing Alternative Option Pricing Models
Gita Madhuri1, Mahima Mishra2
1Gita Madhuri, Research Scholar, Symbiosis Institute of Business Management, Pune, Maharashtra, India.
2Dr. Mahima Mishra, Associate Professor, Symbiosis Institute of Business Management Symbiosis International University, Pune, Maharashtra, India.
Manuscript received on 09 July 2019 | Revised Manuscript received on 21 July 2019 | Manuscript Published on 23 August 2019 | PP: 1283-1287 | Volume-8 Issue-9S3 August 2019 | Retrieval Number: I32820789S319/2019©BEIESP | DOI: 10.35940/ijitee.I3282.0789S319
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© The Authors. Blue Eyes Intelligence Engineering and Sciences Publication (BEIESP). This is an open-access article under the CC-BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/)
Abstract: This study examines the perspectives and practices of testing option pricing models, spanning over four decades of literature across prominent journals. The study reveals that the bulk of research on option pricing focuses on developing new models, than comparing relative performance of already existing models. The review has been classified as perspectives and practices in Deterministic and Stochastic Option pricing models to identify the most frequently compared Option pricing models. The review has been presented in a structured order consolidating different perspectives of testing pricing performance of Option pricing models with an objective to gain insights into the existing literature and form a base for developing future research.
Keywords: Option pricing models, empirical performance of option pricing models, deterministic option pricing models, stochastic option pricing models
Scope of the Article: e-business