Modele avansate de evaluare a derivativelor financiare
Advanced models for evaluating financial derivatives

Summary/Abstract: The Black-Scholes model was one of the most important innovations of the previous century producing a turning point in the evaluation methods of derivative financial instruments. However, the model is as restrictive as it is innovative, so that the last 4 decades have been a real competition in order to estimate a model that is as efficient and close to reality as possible. The paper aims to analyze the efficiency of three models that had the Black-Scholes model as a starting point. Through different statistical and mathematical techniques, the results indicate a high efficiency of the model with statistical series development, and a marginally better efficiency of the model with local volatility and zero jump model efficiency.

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