haku: @indexterm Option prices / yhteensä: 70
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| Tekijä: | Lekvin, B.J. Tiwari, A. |
| Otsikko: | Binomial option pricing biases and inconsistent implied volatilities |
| Lehti: | European Financial Management
2001 : DEC, VOL. 7:4, p. 543-562 |
| Asiasana: | OPTION PRICES PORTFOLIO MANAGEMENT VOLATILITY |
| Kieli: | eng |
| Tiivistelmä: | The authors evaluate the binomial option pricing methodology (OPM) by examining simulated portfolio strategies. A key aspect of this study involves sampling from the empirical distribution of observed equity returns. Using a Monte Carlo simulation, the authors generate equity prices under known volatility and return parameters. |
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