Browsing by Author "Acott, David M"
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- ItemOpen AccessEquity options and stochastic interest rates : error in Black-Scholes prices and hedges for European- and American-style equity options when short rates are Ornstein-Uhlenbeck(2006) Acott, David M; Ouwehand, PeterThis dissertation considers the errors when using Black-Scholes prices and hedges for European equity options (Black&Scholes (1973), Merton (1973)) and American equity options (Karatzas (1988)) in an economy with stochastic interest rates. In particular, we consider an economy with Vasicek (1977) type interest rates.