Option Pricing in the Approach of Integrating Market Risk Premium: Application to OTM Options
In this research, we summarize the results of implementing the market risk premium into the option valuation formulas of the Black–Scholes–Merton model for out-of-the-money (OTM) options. We show that derivative prices can partly depend on systematic market risk, which the BSM model ignores by const...
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| Автор: | |
|---|---|
| Формат: | Artigo |
| Мова: | Inglês |
| Опубліковано: |
MDPI AG
2025-11-01
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| Серія: | Analytics |
| Предмети: | |
| Онлайн доступ: | https://www.mdpi.com/2813-2203/4/4/35 |
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