A Generalized Model for Pricing Financial Derivatives Consistent with Efficient Markets Hypothesis—A Refinement of the Black-Scholes Model
This research article provides criticism and arguments why the canonical framework for derivatives pricing is incomplete and why the delta-hedging approach is not appropriate. An argument is put forward, based on the efficient market hypothesis, why a proper risk-adjusted discount rate should enter...
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-01-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/11/2/24 |