An Analysis of Option Pricing Models

Charles Vu
Computer Systems Lab

Abstract:

The stock options market is a trillion dollar industry and many models exist which attmept to price stock derivates. Previously, most attempts at analyzing the merits of each option model have used theoretical economic analysis. However, no attempt has been made to analyze how the models perform in the actual options market. The goal of this project is to perform an empirical analysis of the option pricing models.