When are Options Overpriced? The Black—Scholes Model and Alternative Characterisations of the Pricing Kernel (Q4943156)
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scientific article; zbMATH DE number 1415841
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| English | When are Options Overpriced? The Black—Scholes Model and Alternative Characterisations of the Pricing Kernel |
scientific article; zbMATH DE number 1415841 |
Statements
When are Options Overpriced? The Black—Scholes Model and Alternative Characterisations of the Pricing Kernel (English)
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22 June 2000
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option prices
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elasticity of the pricing kernel
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Brownian motion
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Black-Scholes formula
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0.801142156124115
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0.7720650434494019
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0.7510585188865662
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0.7462263703346252
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0.7438889145851135
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