--%>

Who described option pricing with deterministic volatility

Who described option pricing with deterministic volatility?

E

Expert

Verified

A discovery was made independently and concurrently by three groups of researchers are: Dupire, Rubinstein, Derman and Kani in the subject of option pricing along with deterministic volatility in 1994.

   Related Questions in Corporate Finance

  • Q : Problem on leveraged beta AB

    AB Restaurants has debt/equity ratio .25, and its leveraged beta is 1.5. Its tax rate is 30%, and its cost of equity is 15%. The risk-free rate is 5%. CD Restaurants has debt/equity ratio .4, and tax rate 35%. Find the cost of equity for CD.

  • Q : Does it make sense to apply identical

    The National Company responsible for the company where he work has newly published a document stating as that the levered beta of the sector of energy transportation is as 0.471870073 (it is 9 decimals). They acquired this number by considering the betas into the sect

  • Q : Explain definition of put–call parity

    Explain the definition of put–call parity described by Reinach.

  • Q : Minimum pretax earnings XYZ Company is

    XYZ Company is planning to acquire a machine which will cost $200,000, that will last for 4 years. The company employs straight-line depreciation. The tax rate of XYZ is 35% and the proper discount rate in this situation is 12%. (A

  • Q : Problem on binomial option pricing model

    The share price of Cheung Kong (Holdings) Limited is currently at $100. Over each of the next two three-month periods, you expect its price will either increase by 10% or fall by 10% in each three-month period. If the Hong Kong interbank offered rate is 8% per annum w

  • Q : How could prestigious investment bank

    I have a doubt about the Enron case. How could this prestigious investment bank advice investing while the quotations of the shares were falling?

  • Q : Explain usual value of the sales of net

    Does the usual value of the sales and of the net income of Spanish companies have anything to do along with sustainable growth?

  • Q : How you can predict future evolution of

    Could we suppose that, as we cannot predict the future evolution of the value of shares, a good estimation would be to consider this constant during the next five years?

  • Q : Historical return on stock market and

    The market risk premium is difference among the historical return upon the stock market and the risk-free rate, for yearly. Why is this negative for some years?

  • Q : How could we project exchange rates How

    How could we project exchange rates within order to be capable to forecast exchange differences?