ISSN NO:2394-2401 (Online)

ISSN NO:2394-384X (Print)

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CALL FOR PAPERS      SUBMISSION LAST DATE   31th July, 2018 FOR AUGUST ISSUE      

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Tittle : Information Aggregation and Option Pricing. An Empirical Comparison of EWMA and Black and Scholes Models

Author(s) : Sharif Mozumder, Khondoker Nazmoon Nabi

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Abstract:

Volatility is the most important concept in options trading. No one can consistently predict the market, not even the experts. Yet many investors think they can guess what will happen, based on hunches or rumors. Unless we know precisely when to buy or sell, we can, and probably will miss the market. This can really cost us. Most of the market’s gain and loss occur in just a few, but unpredictable, trading days. In this paper we study the differences in unpredictability of stock and option prices using Black and Scholes model and EWMA volatility model. This difference eventually affects options range and premiums.

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