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A Survey of Alternative OptionPricing
Observations on the Theory of Option Pricing
A Survey of Empirical Tests of OptionPricing
7 other sections not shown
adjustment American call option arbitrage assets assumed assumptions at-the-money average B-S model Black and Scholes Black-Scholes formula Black-Scholes model bond prices boundary conditions call option CBOE Cocoa Corp coupon default distribution dividend equation ex-ante ex-post excess returns exercise price expiration Financial Economics function futures contract futures price Galai Geske hedge position hedge returns holding-period returns instantaneous interest rates inventory ISDs Journal of Financial lognormal London Commodity Options market efficiency market prices maturity Merton model prices observations option contract option market Option Pricing option value option-pricing model options written out-of-the-money overvalued parameters payouts percent portfolio predictions premium pricing model profits rate of return regression risk riskless Roll model Rubinstein significant spot commodity spot price standard deviation statistics stochastic process stock price strategy striking price ten-year loan term-structure theory trading transaction costs underlying stock undervalued valuation model Valuation of Options variance estimate volatility WISD yield spread