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- W2105472000 abstract "The Black Scholes model of option pricing constitutes the cornerstone of contemporary valuation theory. However, the model presupposes the existence of several unrealistic and rigid assumptions including, in particular, the constancy of the return on the hedge portfolio. There, now, subsists ample justiflcation to the efiect that this is not the case. Consequently, several generalisations of the basic model have been attempted. In this paper, we attempt one such generalisation based on the assumption that the return process on the hedge portfolio follows a stochastic process similar to the Vasicek model of short-term interest rates. c" @default.
- W2105472000 created "2016-06-24" @default.
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- W2105472000 date "2006-01-01" @default.
- W2105472000 modified "2023-09-27" @default.
- W2105472000 title "Black Scholes Option Pricing with Stochastic Returns on Hedge Portfolio" @default.
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