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A COMPARISON OF THE RETURNS TO LONG AND SHORT OPTION PORTFOLIOS BASED ON THE BLACK‐SCHOLES MODEL
Author(s) -
French Dan W.,
Henderson Glenn V.
Publication year - 1980
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.1980.tb01555.x
Subject(s) - citation , black–scholes model , state (computer science) , economics , mathematical economics , financial economics , library science , computer science , programming language , volatility (finance)