Option pricing with random volatilities in complete markets
โ Scribed by Larry Eisenberg; Robert Jarrow
- Book ID
- 105063933
- Publisher
- Springer US
- Year
- 1994
- Tongue
- English
- Weight
- 789 KB
- Volume
- 4
- Category
- Article
- ISSN
- 0924-865X
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract The negative volatility risk premium is understood as a result for a hedging demand against market declines. Although this negative volatility risk premium is observed in most index options markets, there are some doubts about its presence in the KOSPI 200 index options market. The majo
Although the interest rate needs to be forecast, the study by Plato (1985) and others have shown that the interest rate forecast has little impact on the option premium. Therefore, the observed Treasury Bill interest rate is used as the parameter in this study.