haku: @author Finucane, T. J. / yhteensä: 2
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| Tekijä: | Finucane, T. J. |
| Otsikko: | Black-Scholes approximations of call option prices with stochastic volatilities: a note |
| Lehti: | Journal of Financial and Quantitative Analysis
1989 : DEC, VOL. 24:4, p. 527-532 |
| Asiasana: | SHARE PRICES OPTIONS STOCHASTIC PROCESSES |
| Kieli: | eng |
| Tiivistelmä: | Analysis comparing simulated stochastic volatility call prices to Black-Scholes prices calculated with weighted implied volatilities. Stochastic volatility call pricing model. Test of Black-Scholes approximation. A sensitivity analysis. Two Tables illustrate the study. |
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