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Michael J Brennan and Eduardo S Schwartz 1985 Evaluating
James L Paddock Daniel R Siegel and James L Smith 1988
Jonathan E Ingersoll Jr and Stephen A Ross 1992 Waiting
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arbitrage asset price assume assumption at-the-money average Black-Scholes formula bond options bond price boundary conditions call option coefficient commodity compound option constant contingent claims contract density derive differential equation discount bond distribution empirical equilibrium estimate European exercise price expected expiration Financial Economics firm formula forward rate futures price given hedging errors implied volatility increases instantaneous interest rate investment investor Journal of Finance long term gains martingale maturity Merton moneyness nonparametric optimal option prices Option Pricing Models option valuation parameters payoff portfolio rate of return rate process risk riskless risky assets sample Scholes Section short rate short term solution spot price spot rate stochastic process stochastic volatility stock price striking price Structure of Interest SVSI Table term structure trading underlying undeveloped assets variables variance Vasicek Vasicek model volatility function Wiener process yield curve zero