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https://ptsldigital.ukm.my/jspui/handle/123456789/783648| Title: | The relationship of volatility and market-clearing interest rates in asset pricing |
| Authors: | Larry J. Merville |
| Conference Name: | Pacific-Basin Finance Conference |
| Keywords: | Stock-price volatility |
| Conference Date: | 1990-06-04 |
| Conference Location: | Bangkok, Thailand |
| Abstract: | In this paper the joint behavior of the stock-price volatility (e) and the market-clearing interest rate (r) which determine the equilibrium prices of stocks, bonds, and options is explored. Black-Scholes option model is assumed instantaneously correct each week for twenty-five stocks over the period 1975-85, The procedure for estimating & and f is a form of 2-dimensional grid search over the relevant ranges of the two variates such that the summed-squared error between market and model values for all options is minimized. |
| Pages: | 14-15 |
| Call Number: | HC681.P338 1990 katsem |
| URI: | https://ptsldigital.ukm.my/jspui/handle/123456789/783648 |
| Appears in Collections: | Seminar Papers/ Proceedings / Kertas Kerja Seminar/ Prosiding |
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