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- W2019061775 abstract "The theory of Black and Scholes is the basis for all contemporary financial option valuation methods. It is based on the change in value of a portfolio consisting of stocks and options on those stocks in a short time interval, at the end of which the portfolio is renewed. The money value of portfolio renewal is ignored in the Black–Scholes theory. If the cost of portfolio re-financing is included in the Black–Scholes methodology, this leads to a closed form formula for the value of a European call option. In contrast to the outcome of the original Black–Scholes theory, this formula includes the price drift of the underlying asset." @default.
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- W2019061775 date "2006-07-01" @default.
- W2019061775 modified "2023-10-18" @default.
- W2019061775 title "The impact of portfolio re-financing on Black–Scholes call option valuation" @default.
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- W2019061775 doi "https://doi.org/10.1080/17446540500447637" @default.
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