Taylor, Black and Scholes: series approximations and risk management pitfalls
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References listed on IDEAS
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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- Patricia Jackson & David Maude & William Perraudin, 1998. "Bank Capital and Value at Risk," Bank of England working papers 79, Bank of England.
- P.J.G. Vlaar, 1996.
"Methods to determine capital requirements for options,"
Banca Nazionale del Lavoro Quarterly Review,
Banca Nazionale del Lavoro, vol. 49(198), pages 351-373.
- P.J.G. Vlaar, 1996. "Methods to determine capital requirements for options," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 49(198), pages 351-373.
- Matthew Pritsker, 1996. "Evaluating Value-at-Risk Methodologies: Accuracy versus Computational Time," Center for Financial Institutions Working Papers 96-48, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Michel Aglietta, 1996. "Financial Market Failures and Systemic Risk," Working Papers 1996-01, CEPII research center.
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