The linear regression approach for the Black & Scholes option model
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Abstract (EN)
In this study, the effects of underlying price, exercise price, interest rate, volatility and expiry date on call and put option prices are analyzed in Black&Scholes model of option pricing. Linear regression models are obtained for the put option and the call option in the neighborhood of exercise price. The compatibility of the linear regression models with Black&Scholes model is analyzed interactively using Matlab Graphical User Interface (GUI).
Author
Devran Yazır
How to Cite
Devran Yazır (Master Thesis). The linear regression approach for the Black & Scholes option model, 2011, Karadeniz Technical University.
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