Effects of rollover strategies and infor
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Youngsoo Choi; SoonChan Ok
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Article
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2011
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John Wiley and Sons
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English
⚖ 453 KB
👁 2 views
## Abstract One of the most widely used option valuation models among practitioners is the ad hoc Black–Scholes (AHBS) model. The main contribution of this study is methodological. We carefully consider two rollover strategies (nearest‐to‐next strategy and next‐to‐next) used in the AHBS model to in