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Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices |
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| Authors: | Damiano Brigo Fabio Mercurio |
| Affiliation: | (1) Product and Business Development Group, Banca IMI, San Paolo-IMI Group, Corso Matteotti 6, 20121 Milano, Italy (e-mail: brigo@bimimi.it; fmercurio@bimimi.it), IT |
| Abstract: | |
| Keywords: | :Stock-price dynamics, Black and Scholes model, option pricing, discrete Δ -volatility, discrete time versus continuous time |
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