Call Option Premium Dynamics

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Description

This study has a twofold purpose: to demonstrate the use of the Marquardt compromise method in estimating the unknown parameters contained in the probability call-option pricing models and to test empirically the following models: the Boness, the Black-Scholes, the Merton proportional dividend, the Ingersoll differential tax, and the Ingersoll proportional dividend and differential tax.

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viii, 154 leaves : ill.

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Chen, Jim December 1982.

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  • Chen, Jim

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Description

This study has a twofold purpose: to demonstrate the use of the Marquardt compromise method in estimating the unknown parameters contained in the probability call-option pricing models and to test empirically the following models: the Boness, the Black-Scholes, the Merton proportional dividend, the Ingersoll differential tax, and the Ingersoll proportional dividend and differential tax.

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viii, 154 leaves : ill.

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UNT Theses and Dissertations

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  • December 1982

Added to The UNT Digital Library

  • Aug. 22, 2014, 6 p.m.

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  • April 25, 2018, 9:37 a.m.

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Chen, Jim. Call Option Premium Dynamics, dissertation, December 1982; Denton, Texas. (digital.library.unt.edu/ark:/67531/metadc332148/: accessed June 25, 2018), University of North Texas Libraries, Digital Library, digital.library.unt.edu; .