English, Article edition: A FORWARD LOOKING, SINGULAR PERTURBATION APPROACH TO PRICING OPTIONS UNDER MARKET UNCERTAINTY AND TRADING NOISE JORGE R. SOBEHART

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Bookmark: http://trove.nla.gov.au/version/83193
Physical Description
  • article
Language
  • English

Edition details

Title
  • A FORWARD LOOKING, SINGULAR PERTURBATION APPROACH TO PRICING OPTIONS UNDER MARKET UNCERTAINTY AND TRADING NOISE
Author
  • JORGE R. SOBEHART
Physical Description
  • article
Notes
  • In this article we examine the pricing of options when trading noise and uncertainty in the options markets invalidates the assumption that the price of the option depends solely on the price of the underlying security (or any set of underlying state variables). We show that the introduction of trading noise in the options market affects the call-put parity relationship, and can also contribute to generate implied volatility skews.
  • Market uncertainty, trading noise, perturbation analysis, options pricing
  • RePEc:wsi:ijtafx:v:08:y:2005:i:05:p:635-658
Language
  • English
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