Price Adjustment Time and the Black-Scholes Option Pricing Model: Discussion and New Results
Year of publication: |
2002-07-01
|
---|---|
Authors: | Haven, Emmanuel |
Institutions: | Society for Computational Economics - SCE |
Subject: | option pricing |
-
Can standard preferences explain the prices of out-of-the-money S&P 500 put options?
Benzoni, Luca, (2011)
-
Explaining asset pricing puzzles associated with the 1987 market crash
Benzoni, Luca, (2010)
-
Solving the Esscher puzzle: the NEF-GHS option pricing model
Fischer, Matthias J., (2002)
- More ...
-
Private information and the use of a so called 'information function'
Haven, Emmanuel, (2006)
-
Using wavelets to approximate the risk-neutral MGF for options
Shen, Liya, (2006)
-
Stradi-Granados, Benito A., (2010)
- More ...