haku: @author Grinblatt, M. / yhteensä: 15
viite: 12 / 15
| Tekijä: | Grinblatt, M. Johnson, H. |
| Otsikko: | A put option paradox. |
| Lehti: | Journal of Financial and Quantitative Analysis
1988 : MAR, VOL. 23:1, p. 23-26 |
| Asiasana: | PUT OPTIONS |
| Kieli: | eng |
| Tiivistelmä: | The presentation and solution of a paradox concerning what happens to the price of a put option when the stock price does not change. The paradox. The resolution involving an investigation of the binomial process and continuous time stochastic processes. How the "ex post" variance differs from the "ex ante" variance over finite time intervals. |
SCIMA