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- W2617088977 abstract "Bartels (1995), following Bergman (1982), stated that derivations of the Black-Scholes PDE which follow the original approach of Black & Scholes (1973) are flawed, in that the time differential of the value of the hedge portfolio omits a term, but that a second error cancels out the first so that the option pricing formula is correct. In this paper we suggest that the error is one of terminology rather than methodology. Changes of value arising from additional investment or consumption should be excluded from rates of return, for example when considering arbitrage, and the original BlackScholes analysis did employ the correct process. However, the distinction between rate of change of value and rate of return is not always made clear in expositions which follow the PDE approach." @default.
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- W2617088977 date "1997-01-01" @default.
- W2617088977 modified "2023-09-25" @default.
- W2617088977 title "The hypotheses underlying the pricing of options: a note on a paper by Bartels" @default.
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