## Abstract This article returns to the choice of method for calculating option hedge ratios discussed by Pelsser and Vorst (1994). Where they demonstrated that numerical differentiation of a binomial model compared poorly to their design of an extended tree, this study shows that the Binomial Blac
β¦ LIBER β¦
On the relation between the original and the discounted model in Black/Scholes model
β Scribed by Choi, Won
- Book ID
- 112971914
- Publisher
- Springer-Verlag
- Year
- 1995
- Tongue
- English
- Weight
- 98 KB
- Volume
- 2
- Category
- Article
- ISSN
- 1226-0061
No coin nor oath required. For personal study only.
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## Abstract In this paper, we describe a general method for constructing the posterior distribution of the mean and volatility of the return of an asset satisfying d__S__=__S__d__X__ for some simple models of __X__. Our framework takes as inputs the prior distributions of the parameters of the stoc