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SSRNDerivatives & Volatility

Black-Scholes-Merton Model

The expected return rate of an asset does impact the option pricing model, contrary to continuous-time finance literature, necessitating a linear function between risk-free interest rate and the asset's expected return rate and return variance.

Featured in No. 64 on 5 Sep 2024 · 6 days after release

Released
30 Aug 2024
First featured
No. 64 · 5 Sep 2024
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
3
Identifier
SSRN 4946621

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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