Parameter risk in the Black and Scholes model
Year of publication: |
2003-10-09
|
---|---|
Authors: | Marc, Henrard |
Institutions: | EconWPA |
Subject: | Black and Scholes model | option | parameter risk | profit distribution |
-
Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices
Brigo, Damiano, (2000)
-
Comment on `Pricing double barrier options using Laplace transforms' by Antoon Pelsser
Hui, C.H., (1999)
-
The pricing kernel and the Black-Scholes formula.
Molinari, Franco, (2009)
- More ...
-
A semi-analytical approach to Canary swaptions in HJM one-factor model
Marc, Henrard, (2003)
-
Eurodollar futures and options: convexity adjustment in HJM one- factor model
Marc, Henrard, (2005)
-
Comparisons of cashflow maps for value-at-risk
Marc, Henrard, (2003)
- More ...