DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Hwa-Sung | ko |
dc.contributor.author | Kang, Jang-Koo | ko |
dc.contributor.author | Shin, Jeong-Woo | ko |
dc.date.accessioned | 2013-03-08T18:56:11Z | - |
dc.date.available | 2013-03-08T18:56:11Z | - |
dc.date.created | 2012-03-07 | - |
dc.date.created | 2012-03-07 | - |
dc.date.issued | 2012 | - |
dc.identifier.citation | JOURNAL OF FUTURES MARKETS, v.32, no.2, pp.191 - 198 | - |
dc.identifier.issn | 0270-7314 | - |
dc.identifier.uri | http://hdl.handle.net/10203/93969 | - |
dc.description.abstract | Camara A. and Wang Y.-H. (2010) introduce a simple square root option pricing model where the square root of the stock price is governed by a normal distribution. They show that their three-parameter option pricing model can outperform the BlackScholes option pricing model. We demonstrate that their assumption possesses an internal inconsistency in that the square root of the stock price can take on negative values. We generalize and revise their assumption so that the internal inconsistency can be avoided, and introduce a new square root option pricing model. The difference in option prices calculated from the two models may not be trivial. (C) 2011 Wiley Periodicals, Inc. Jrl Fut Mark | - |
dc.language | English | - |
dc.publisher | WILEY-BLACKWELL | - |
dc.subject | STOCHASTIC VOLATILITY | - |
dc.subject | VALUATION | - |
dc.subject | RETURNS | - |
dc.title | Comment on "A new simple square root option pricing model" | - |
dc.type | Article | - |
dc.identifier.wosid | 000297576700005 | - |
dc.identifier.scopusid | 2-s2.0-83055188484 | - |
dc.type.rims | ART | - |
dc.citation.volume | 32 | - |
dc.citation.issue | 2 | - |
dc.citation.beginningpage | 191 | - |
dc.citation.endingpage | 198 | - |
dc.citation.publicationname | JOURNAL OF FUTURES MARKETS | - |
dc.identifier.doi | 10.1002/fut.20526 | - |
dc.contributor.localauthor | Kang, Jang-Koo | - |
dc.contributor.nonIdAuthor | Kim, Hwa-Sung | - |
dc.type.journalArticle | Editorial Material | - |
dc.subject.keywordPlus | STOCHASTIC VOLATILITY | - |
dc.subject.keywordPlus | VALUATION | - |
dc.subject.keywordPlus | RETURNS | - |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.