Review of Finance Vol. 3 No. 3 1999
Comment on ‘Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates’
Abstract
The option pricing model has been the work horse in the development of financial economics ever since the seminal papers by Black and Scholes (1973) and Merton (1973). Here, the arbitrage free prices of equity options were derived in closed form. Apart from the price of the underlying asset and contractual terms (strike
- DOI
- 10.1023/a:1009868019690
- Volume
- 3
- Issue
- 3
- Pages
- 311-317
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref