An Update on the Empirical Tests of the Black-Scholes-Merton, Modified Black-Scholes and Roll-Geske-Whaley Option Pricing Models

An Update on the Empirical Tests of the Black-Scholes-Merton, Modified Black-Scholes and Roll-Geske-Whaley Option Pricing Models
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Total Pages : 336
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ISBN-10 : OCLC:74278877
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Book Synopsis An Update on the Empirical Tests of the Black-Scholes-Merton, Modified Black-Scholes and Roll-Geske-Whaley Option Pricing Models by : John Michael Bucci

Download or read book An Update on the Empirical Tests of the Black-Scholes-Merton, Modified Black-Scholes and Roll-Geske-Whaley Option Pricing Models written by John Michael Bucci and published by . This book was released on 2006 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:


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The mathematical model for computing the value of European options has been discovered and known as the Black-Scholes model. Later on, the model has been modifi