CAPM option pricing

CAPM and option pricing with elliptically contoured distributions

This paper offers an alternative proof of the Capital Asset Pricing Model (CAPM) when asset returns follow a multivariate elliptical distribution. Empirical studies continue to demonstrate the inappropriateness of the normality assumption for modelling asset returns. The class of elliptically contoured distributions, which includes the more familiar Normal distribution, provides flexibility in ...

Comparative Study of Capital Assets Pricing Models (CAPM) with Extrapolating Capital Assets Pricing Models (X-CAPM) in Tehran Exchange Market

The main objective of this article is to present a comparative study of capital assets pricing models (CAPM) with extrapolating capital assets pricing models (X-CAPM) of companies admitted in Tehran Exchange Market which is accomplished for the first time by investigators of this research in Iran. Accordingly, the statistical population under study of this research includes all companies admitt...

Meshfree Methods in Option Pricing Meshfree Methods in Option Pricing

A meshfree approximation scheme based on the radial basis function methods is presented for the numerical solution of the options pricing model. This thesis deals with the valuation of the European, Barrier, Asian, American options of a single asset and American options of multi assets. The option prices are modeled by the Black-Scholes equation. The θ-method is used to discretize the equation ...

option pricing models

this paper is a translation of a chapter of the hook written by jonathan e. ingersoll jr. the farsi translation will he of great help to iranian students studying option pricing models.

FFT Based Option Pricing