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~person:"Kristensen, Dennis"
~subject:"Option pricing theory"
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Option pricing theory
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Kristensen, Dennis
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Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in
continuous-time
models
Kristensen, Dennis
;
Mele, Antonio
- In:
Journal of Financial Economics
102
(
2011
)
2
,
pp. 390-415
We develop a new approach to approximating asset prices in the context of
continuous-time
models. For any pricing model …
Persistent link: https://www.econbiz.de/10011039202
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