Estimating option prices using log-gamma model.
Tan, Catherine Khee Chang.
Chan, Chee Foong.
Date of Issue2002
College of Business (Nanyang Business School)
Following the major breakthrough by Fisher Black, Myron Scholes and Robert Merton with the development of the Black-Scholes model, pricing and hedging of options have since been largely influenced by this model. In this paper, we study the pricing errors of options using the log-gamma process and a comparison analysis will be performed against the Black-Scholes model.
Nanyang Technological University