Essays about: "Jenny Pang"

Found 1 essay containing the words Jenny Pang.

  1. 1. Additional Information in Higher Order Derivatives of the Black-Scholes Formula

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jenny Pang; [2009]
    Keywords : Black-Scholes; Greeks; Higher order derivatives; Taylor expansion; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : Volatility smile arising from the Black-Scholes model is a long studied subject in option pricing theory. By analysing higher order derivatives of the model, I hope to put another perspective to the problem. READ MORE