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Higher Order Derivatives in Black-Scholes by Lameune is a document available to read on EtoBox.
This document provides an abstract for a thesis investigating whether price changes of Swedish OMXS30 index options follow the Taylor expansion of the Black-Scholes model using higher order derivatives. The author aims to analyze if there is additional information in second and third order derivatives of Black-Scholes that can help predict price changes. The findings show that prediction errors increase with higher order derivatives and options do not exactly follow Black-Scholes expansion. However, standar
- Author
- Lameune
- Language
- EN