Negative interest rates effects on option pricing : back to basics?
Giacomo Burro, Pier Giuseppe Giribone, Simone Ligato, Martina Mulas, Francesca Querci
| Year of publication: |
June-September 2017
|
|---|---|
| Authors: | Burro, Giacomo ; Giribone, Pier Giuseppe ; Ligato, Simone ; Mulas, Martina ; Querci, Francesca |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 4.2017, 2/3, p. 1-27
|
| Subject: | Option pricing | negative interest rates | Black-Scholes framework | Bachelier model | Optionspreistheorie | Option pricing theory | Zins | Interest rate | Niedrigzinspolitik | Low-interest-rate policy | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786317500347 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011778279