Portfolio insurance and volatility : on the robustness of the Black-Scholes option pricing model
Rüdiger Frey; Alexander Stremme. [Sonderforschungsbereich 303, "Information und die Koordination Wirtschaftlicher Aktivitäten", Rheinische Friedrich-Wilhelms-Universität Bonn]
| Year of publication: |
1993
|
|---|---|
| Authors: | Frey, Rüdiger ; Stremme, Alexander |
| Publisher: |
Bonn : Sonderforschungsbereich 303 |
| Subject: | Portfolio-Management | Portfolio selection | Hedging | CAPM | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model | Optionspreistheorie | Option pricing theory |
| Extent: | II, 38 S graph. Darst 30 cm |
|---|---|
| Series: | Discussion paper / B. - Bonn : Univ. Sonderforschungsbereich 303, ZDB-ID 54757-8. - Vol. No 256 |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10000412479