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Persistent link: https://www.econbiz.de/10010218778
One of the most widely used option valuation models among practitioners is the ad hoc Black-Scholes (AHBS) model. The main contribution of this paper is methodological. We carefully consider two rollover strategies (nearest-to-next strategy and next-to-next) used in the AHBS model to investigate...
Persistent link: https://www.econbiz.de/10013130177