Robustness of the Black-Scholes approach in the case of options on several assets
β Scribed by Silvia Romagnoli; Tiziano Vargiolu
- Publisher
- Springer-Verlag
- Year
- 2000
- Tongue
- English
- Weight
- 132 KB
- Volume
- 4
- Category
- Article
- ISSN
- 0949-2984
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π SIMILAR VOLUMES
A model for option pricing of a (Ξ³ , 2H)-fractional Black-Merton-Scholes equation driven by the dynamics of a stock price S(t) satisfying (dS , where B H (t) is a fractional Brownian motion with Hurst exponent H β (0, 1), is established. We obtain the explicit option pricing formulas for the Europe
We develop methods to compute equilibria in dynamic models with incomplete asset markets and heterogeneous agents. Using spline interpolation methods we approximate recursive trading policies of the agents and the equilibrium pricing functions. We explore various methods for determining the coe$cien
## Abstract In this article, we examine the effect of multiple listings of options on their bidβask spread, by comparing options contracts listed only on the Montreal Exchange with those interlisted on that exchange and on a U.S. exchange as well. Using a statistical procedure adapted to panel data