منابع مشابه
Heterogeneous Beliefs, Option Prices, and Volatility Smiles∗
In an economy in which investors with different time preferences have heterogeneous beliefs about a dividend’s mean growth rate, the volatility of the stock that claims the dividend is stochastic in equilibrium. The prices of the vanilla European options that are written on this stock admit closed-form solutions, hence their hedging deltas. The implied volatility surface exhibits the observed p...
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this paper is a translation of a chapter of the hook written by jonathan e. ingersoll jr. the farsi translation will he of great help to iranian students studying option pricing models.
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ژورنال
عنوان ژورنال: European Financial Management
سال: 2001
ISSN: 1354-7798,1468-036X
DOI: 10.1111/1468-036x.00160