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  • 7

Publication Type:

  • 7
AgEcon Search 7 records found Search took 0.04 seconds. 
1.
Typically, three types of implied volatility smiles are seen in commodity options: the reverse skew, the smile, and the forward skew. I put forward an economic explanati [...]
2015-01 | Working or Discussion Paper |
2.
A key limitation of the Black Scholes model is that it assumes a complete market (claims are replicable with existing assets). We put forward a new option pricing formula [...]
2013-09 | Working or Discussion Paper |
3.
Constantinides et al (2013) put forward a number of empirical findings regarding leverage adjusted S&P 500 index option returns. Their findings are puzzling in the co [...]
08 July 2014 | Working or Discussion Paper |
4.
An analogy based option pricing model is put forward. If option prices are determined in accordance with the analogy model, and the Black Scholes model is used to back-o [...]
2014-10 | Working or Discussion Paper |
5.
A key limitation of the Black Scholes model is that it assumes a complete market (claims are replicable with existing assets). We put forward a new option pricing formula [...]
2013-09 | Working or Discussion Paper |
6.
An anchoring-adjusted option pricing model is developed in which the expected return of the underlying stock is used as a starting point that gets adjusted upwards to for [...]
2015-07 | Working or Discussion Paper |
7.
The belief that the essence of the Black Scholes model is correct implies that one is unaware that a delta-hedged portfolio is risky, while believing that the proposition [...]
2014-01 | Working or Discussion Paper |

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