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2019 | OriginalPaper | Chapter

6. Derivative Model Applications

Author : Jamie Rogers

Published in: Strategy, Value and Risk

Publisher: Springer International Publishing

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Abstract

The Black–Scholes GBM (geometric Brownian motion) model can be generalized to other models that are more realistic for particular markets. The various simple extensions to the Black–Scholes model assume constant parameters for ease of calculation. In reality, the properties of time series such as volatility, mean reversion, long-term levels and jump behaviour will at the very least vary through time with reasonably predictable patterns. These characteristics can be included in spot models.

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Metadata
Title
Derivative Model Applications
Author
Jamie Rogers
Copyright Year
2019
Publisher
Springer International Publishing
Book
Strategy, Value and Risk

Print ISBN: 978-3-030-21977-2

Electronic ISBN: 978-3-030-21978-9

Copyright Year: 2019

DOI
https://doi.org/10.1007/978-3-030-21978-9_6