Charles J. Corrado

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The Black-Scholes (1973) option pricing model is used to value a wide range of option contracts. However, the model often inconsistently prices deep in-themoney and deep out-of-the-money options. Options’ professionals refer to this phenomenon as a volatility ‘skew’ or ‘smile.’ In this paper, we apply an extension of the Black-Scholes model developed by(More)
The Black-Scholes ( 1973) option pricing model is a universal standard among option valuation models. Despite its widespread popularity, however, the model has some known deficiencies in actual applications. For example, when calibrated to accurately price at-the-money options, the Black-Scholes model frequently misprices deep in-the-money and deep(More)
This paper proposes a class of stochastic volatility (SV) models which offers an alternative to the one introduced in Andersen (1994). The class encompasses all standard SV models that have appeared in the literature, including the well known lognormal model, and allows us to empirically test all standard specifications in a convenient way. We develop a(More)
BACKGROUND Currently international literature describes physiotherapy in cerebral palsy (CP) children only in generic terms (traditional / standard / background / routine). AIM The aim of this study is to create a checklist capable of describing the different modalities employed in physiotherapeutic treatment by means of a non-bias, common, universal,(More)
Our consulting experiences indicate that many New Zealand businesses and their managers are increasingly aware of the shortcomings of conventional methods for evaluating capital investment projects, particularly in situations where there is considerable flexibility subsequent to the project's commencement. With the busy executive in mind, we offer a brief(More)
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