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Stock Returns and Option Prices. A Simulation Analysis
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Type: BOOK - Published: 2021-08-30 - Publisher: GRIN Verlag

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Seminar paper from the year 2018 in the subject Economics - Finance, grade: 1.0, Zeppelin University Friedrichshafen, course: Advanced Financing, language: Engl
The Distribution of Individual Stock Returns in a Modified Black-scholes Option Pricing Model
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Author's abstract: There have been many attempts to find a model that can accurately price options. These models are built on many assumptions, including which
Fat-Tailed and Skewed Asset Return Distributions
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While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet ma
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The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms during the period from January 1996
An Accuracy and Efficiency Study of the Black Option Pricing Model
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