A closer look at Black–Scholes option thetas
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Finance
Link
http://link.springer.com/content/pdf/10.1007/s12197-007-9000-8.pdf
Reference12 articles.
1. Alexander G, Stutzer M (1996) A graphical note on European put thetas. J Futures Mark 16:201–209
2. Black F (1975) Fact and fantasy in the use of options. Financ Anal J 31:36–72
3. Black F, Scholes MS (1973) The pricing of options and corporate liabilities. J Polit Econ 81:637–654
4. Chance DM (1994) Translating the Greek: the real meaning of call option derivatives. Financ Anal J 50(4):43–49
5. Chung S, Shackleton M (2002) The binomial Black–Scholes model and the Greeks. J Futures Mark 22(2):143–153
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