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
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- Identifier
- SSRN 4946621
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