Option Surfaces Through the Lens of the Black Merton Scholes Model

Summarizing option surfaces using parametric representations, their movements are decomposed into a number of effects. Arguments are presented for treating traditional sensitivity attribution terms as regression factors leading to significant attribution improvements

MoreLess

Year of publication:	2017
Authors:	Madan, Dilip B.
Other Persons:	Wang, King (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory \| Black-Scholes-Modell \| Black-Scholes model \| Schwarze Menschen \| Black people

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (13 p)
Series:	Robert H. Smith School Research Paper ; No. RHS 2888977
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 22, 2016 erstellt
Other identifiers:	10.2139/ssrn.2888977 [DOI]
Classification:	G10 - General Financial Markets. General ; G13 - Contingent Pricing; Futures Pricing ; G18 - Government Policy and Regulation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012966857