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Non-linear estimates of the Black-Scholes option pricing model using online agent-based data

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  • Amaresh Das

Abstract

This paper specifies and estimates an option price model using non-linear, Seemingly Unrelated Regression (SUR) technique that allows for the incorporation of cross equation correlations and other generalisations. Our results do suggest that this generalisation improves the efficiency of the parameter estimates. The short duration options in the Indian financial market managed online through a mobile agent and distributed network management system can also work as a complementary technique in empirical work and parameter estimation in financial markets.

Suggested Citation

  • Amaresh Das, 2010. "Non-linear estimates of the Black-Scholes option pricing model using online agent-based data," International Journal of Electronic Finance, Inderscience Enterprises Ltd, vol. 4(2), pages 190-199.
    • Handle: RePEc:ids:ijelfi:v:4:y:2010:i:2:p:190-199
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