haku: @indexterm Stock options / yhteensä: 242
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| Tekijä: | Brigo, D. Mercurio, F. Rapisarda, F. |
| Otsikko: | Smile at the uncertainty |
| Lehti: | Risk
2004 : MAY, VOL. 17:5, p. 97-100 |
| Asiasana: | derivative securities pricing stock options |
| Kieli: | eng |
| Tiivistelmä: | This article discusses the pricing of options. According to the writers, smile-consistent alternatives to the Black & Scholes model are often not very appropriate to be used for large portfolios of exotic options. The writers present a model that is easy to implement and enables consistent revaluation of an options book and the calculation of sensitivities. |
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