Stocks & Commodities V. 41:11 (24–27): Looking At Minute-By-Minute Stock Option Data Part 3: Alternatives To Black-Scholes by Greg Aharonian
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Looking At Minute-By-Minute Stock Option Data Part 3: Alternatives To Black-Scholes by Greg Aharonian
Many concerns have been expressed over the years about the assumptions made by the Black-Scholes model (and some other option models) with regard to the volatility and continuity in the markets. When trading very short-term option contracts, do the model’s assumptions really reflect reality? Here’s a look.
In this series of articles, I have been writing about empirical analysis of stock option chain data to get a better feel for how option premiums change on a short timescale, from a few minutes to a few hours to a few days ...
Many concerns have been expressed over the years about the assumptions made by the Black-Scholes model (and some other option models) with regard to the volatility and continuity in the markets. When trading very short-term option contracts, do the model’s assumptions really reflect reality? Here’s a look.
In this series of articles, I have been writing about empirical analysis of stock option chain data to get a better feel for how option premiums change on a short timescale, from a few minutes to a few hours to a few days ...
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