The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns (Classic Reprint) - Hardcover

Merton, Robert C.

Hardcover

ISBN 10: 0331884534 ISBN 13: 9780331884531

Verlag: Forgotten Books, 2017

Inhaltsangabe

Excerpt from The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns

At the heart of the derivation of the Black - Scholes option pricing formula is the arbitrage technique by which investors can follow a dynamic pértfolio strategy using the stock and riskless borrowing t0'exactly repro duce the return structure of an option. By following this strategy in com bination with a short position in an option, the investor can eliminate all risk from the total position, and hence to avoid arbitrage.opportunities.

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Details zur Ausgabe

• Verlag: Forgotten Books
• Erscheinungsdatum: 2017
• Sprache: Englisch
• ISBN 10: 0331884534
• ISBN 13: 9780331884531
• Einband: Gebundene Ausgabe
• Anzahl der Seiten: 82
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