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HOW TO USE THE HOLES IN BLACK-SCHOLES
Black, Fischer - In: Journal of Applied Corporate Finance 1 (1989) 4, pp. 67-73
Persistent link: https://www.econbiz.de/10005523312
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The pricing of commodity contracts
Black, Fischer - In: Journal of Financial Economics 3 (1976) 1-2, pp. 167-179
Persistent link: https://www.econbiz.de/10005477812
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Bank funds management in an efficient market
Black, Fischer - In: Journal of Financial Economics 2 (1975) 4, pp. 323-339
Persistent link: https://www.econbiz.de/10005478246
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Mean Reversion and Consumption Smoothing.
Black, Fischer - In: Review of Financial Studies 3 (1990) 1, pp. 107-14
Most models of the evolution of wealth and consumption assume that wealth volatility and risk premium are constant. But in fact, volatility declines, and risk premium seems to decline, as wealth rises. A model that allows mean reversion in the sense that the risk premium declines as wealth rises...
Persistent link: https://www.econbiz.de/10005564172