THE DURATION OF OPTION PORTFOLIOS

被引：9

作者：

GARMAN, MB

机构：

来源：

关键词：

D O I：

10.1016/0304-405X(85)90020-0

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：309 / 315

页数：7

共 8 条

[1] PRICING OF COMMODITY CONTRACTS [J].

BLACK, F .

[2] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].

BLACK, F ;

SCHOLES, M .

[3] DURATION AND THE MEASUREMENT OF BASIS RISK [J].

COX, JC ;

INGERSOLL, JE ;

ROSS, SA .

[4] FOREIGN-CURRENCY OPTION VALUES [J].

GARMAN, MB ;

KOHLHAGEN, SW .

[5]

MERTON R, 1973, BELL J ECON, V4, P573

[6] PRICING OF CONTINGENT CLAIMS AND MODIGLIANI-MILLER THEOREM [J].

MERTON, RC .

[7]

SAMUELSON P, 1969, IMR-IND MANAG REV, V10, P17

[8]

SAMUELSON PA, 1965, IMR-IND MANAG REV, V6, P13