Extending generalised Leland option pricing models: simulation using Monte Carlo
To explain option pricing movements, most studies modify the Black-Scholes model by adding other factors. The parametric generalisation, on the other hand, frequently leads to an over-parametrisation problem in the model being constructed. The model's high constraints frequently resulted in con...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2022
|
| Subjects: | |
| Online Access: | http://irep.iium.edu.my/101309/18/101309_%20Extending%20generalised%20Leland%20option%20pricing%20models.pdf http://irep.iium.edu.my/101309/ |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|