Black-Scholes and Augmented Option Pricing Models


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The Black-Scholes model was a revelation and took a large step forward in terms of mathematical application in quantitative finance. An empirical trait is that the model has generally been used by practitioners in an ad-hoc fashion. This may explain why actual option prices have rarely converged to respective Black-Scholes estimates. Empirical options research has highlighted systematic biases within the model and has attempted to correct for these by proposing models that offer greater consistency in both internal ...

Black-Scholes and Augmented Option Pricing Models 2010, LAP Lambert Academic Publishing, Saarbrucken

ISBN-13: 9783838378312

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