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The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns (Classic Reprint) - Softcover
Synopsis
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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This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
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About the Author
Robert C. Merton is George Fisher Baker, Professor of Business Administration, Harvard University.
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- PublisherForgotten Books
- Publication date2024
- ISBN 10 1334537615
- ISBN 13 9781334537615
- BindingPaperback
- LanguageEnglish
- Number of pages83
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The Impact on Option Pricing of Specification Error in the Underlying Stock
Print on DemandSeller: Forgotten Books, London, United Kingdom
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Paperback. Condition: New. Print on Demand. This book examines the impact of misspecification error in the underlying stock price returns on option pricing. The author compares the option prices arrived at by an investor who believes that the distribution of the unanticipated returns of the underlying stock is lognormal and hence that he can use the classic Black-Scholes pricing formula with the "correct" option prices if the true process for the underlying stock is a mixture of a lognormal process and a jump process. Through simulations and mathematical modeling, the author explores the nature and magnitude of these errors, providing insights into the implications of misspecification for option pricing and the broader financial markets. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book. print-on-demand item. Seller Inventory # 9781334537615_0
Quantity: Over 20 available
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The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns (Classic Reprint)
Seller: PBShop.store US, Wood Dale, IL, U.S.A.
Seller rating 5 out of 5 stars
PAP. Condition: New. New Book. Shipped from UK. Established seller since 2000. Seller Inventory # LX-9781334537615
Quantity: 15 available
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The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns (Classic Reprint)
Seller: PBShop.store UK, Fairford, GLOS, United Kingdom
Seller rating 5 out of 5 stars
PAP. Condition: New. New Book. Shipped from UK. Established seller since 2000. Seller Inventory # LX-9781334537615
Quantity: 15 available