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Rethinking Valuation and Pricing Models || Hedging Strategies with Variable Purchase Options

✍ Scribed by Moreno, Manuel


Book ID
121369148
Publisher
Elsevier
Year
2013
Weight
266 KB
Category
Article
ISBN
0124158757

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Pricing and hedging S&P 500 index option
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The universal use of the Black and Scholes option pricing model to value a wide range of option contracts partly accounts for the almost systematic use of Gaussian distributions in finance. Empirical studies, however, suggest that there is an information content beyond the second moment of the distr