Parameter risk in the Black and Scholes model
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- Simon Ellersgaard & Martin JÃ¶nsson & Rolf Poulsen, 2017. "The Fundamental Theorem of Derivative Trading - exposition, extensions and experiments," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 515-529, April.
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KeywordsBlack and Scholes model; option; parameter risk; profit distribution;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-RMG-2003-10-12 (Risk Management)
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