The effect of market sentiment and information asymmetry on option pricing
| dc.contributor.author | Zghal, Imen | |
| dc.contributor.author | Ben Hamad, Salah | |
| dc.contributor.author | Eleuch, Hichem | |
| dc.contributor.author | Nobanee, Haitham | |
| dc.date.accessioned | 2024-07-09T06:25:33Z | |
| dc.date.available | 2024-07-09T06:25:33Z | |
| dc.date.issued | 2020-11 | |
| dc.description | The most significant financial derivatives are options, which are mostly used for their flexible and nonstandard character. Options can be used to speculate in the market for profit, earn income to enhance investment returns, protect against a temporary decline in a stock’s value, or to hedge an entire portfolio against market risk. | |
| dc.description.abstract | This work addresses the impact of imperfections, such as information asymmetry and market sentiment, on the performance of option pricing models. More precisely, this work compares the option pricing model of Black and Scholes and the same model in the presence of imperfections. This study is based on S&P 500 options that cover the period between 17/03/2000 and 14/06/2013. The achieved results show that, in general, in the presence of imperfections, the model is more effective than the Black and Scholes model. This research appears to be promising for the incorporation of imperfections into the assessment of options. Keywords: Information asymmetry, Market imperfections, Market sentiment, Option pricing; Put-call parity | en |
| dc.identifier.citation | Zghal, I., Hamad, S. B., Eleuch, H., & Nobanee, H. (2020). The effect of market sentiment and information asymmetry on option pricing. The North American Journal of Economics and Finance, 54, 101235. | |
| dc.identifier.doi | https://doi.org/10.1016/j.najef.2020.101235 | |
| dc.identifier.uri | https://dspace.adu.ac.ae/handle/1/5962 | |
| dc.language.iso | en | |
| dc.publisher | Elsevier | |
| dc.title | The effect of market sentiment and information asymmetry on option pricing | |
| dc.type | Article |