Approximating option prices under large changes of underlying asset prices
Year of publication: |
2023
|
---|---|
Authors: | Jun, Jae-Yun ; Rakotondratsimba, Yves |
Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 26.2023, 1, Art.-No. 2350004, p. 1-27
|
Subject: | Black-Scholes | delta-gamma | Options | risk | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | CAPM | Risiko | Risk | Optionsgeschäft | Option trading |
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