Option Pricing With V. G. Martingale Components
European call options are priced when the uncertainty driving the stock price follows the V. G. stochastic process (Madan and Seneta 1990). the incomplete markets equilibrium change of measure is approximated and identified using the log return mean, variance, and kurtosis. an exact equilibrium inte...
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Gespeichert in:
| Autor*in: |
Madan, Dilip B. [verfasserIn] Milne, Frank [verfasserIn] |
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| Format: |
E-Artikel |
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| Erschienen: |
Oxford, UK: Blackwell Publishing Ltd ; 1991 |
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| Schlagwörter: |
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| Umfang: |
Online-Ressource |
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| Reproduktion: |
2006 ; Blackwell Publishing Journal Backfiles 1879-2005 |
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| Übergeordnetes Werk: |
In: Mathematical finance - Oxford [u.a.] : Wiley-Blackwell, 1991, 1(1991), 4, Seite 0 |
| Übergeordnetes Werk: |
volume:1 ; year:1991 ; number:4 ; pages:0 |
| Links: |
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| DOI / URN: |
10.1111/j.1467-9965.1991.tb00018.x |
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| 520 | |a European call options are priced when the uncertainty driving the stock price follows the V. G. stochastic process (Madan and Seneta 1990). the incomplete markets equilibrium change of measure is approximated and identified using the log return mean, variance, and kurtosis. an exact equilibrium interpretation is also provided, allowing inference about relative risk aversion coefficients from option prices. Relative to Black-Scholes, V. G. option values are higher, particularly so for out of the money options with long maturity on stocks with high means, low variances, and high kurtosis. | ||
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10.1111/j.1467-9965.1991.tb00018.x doi (DE-627)NLEJ241820936 DE-627 ger DE-627 rakwb Madan, Dilip B. verfasserin aut Option Pricing With V. G. Martingale Components Oxford, UK Blackwell Publishing Ltd 1991 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier European call options are priced when the uncertainty driving the stock price follows the V. G. stochastic process (Madan and Seneta 1990). the incomplete markets equilibrium change of measure is approximated and identified using the log return mean, variance, and kurtosis. an exact equilibrium interpretation is also provided, allowing inference about relative risk aversion coefficients from option prices. Relative to Black-Scholes, V. G. option values are higher, particularly so for out of the money options with long maturity on stocks with high means, low variances, and high kurtosis. 2006 Blackwell Publishing Journal Backfiles 1879-2005 |2006|||||||||| option pricing Milne, Frank verfasserin aut In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 1(1991), 4, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:1 year:1991 number:4 pages:0 http://dx.doi.org/10.1111/j.1467-9965.1991.tb00018.x text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 1 1991 4 0 |
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10.1111/j.1467-9965.1991.tb00018.x doi (DE-627)NLEJ241820936 DE-627 ger DE-627 rakwb Madan, Dilip B. verfasserin aut Option Pricing With V. G. Martingale Components Oxford, UK Blackwell Publishing Ltd 1991 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier European call options are priced when the uncertainty driving the stock price follows the V. G. stochastic process (Madan and Seneta 1990). the incomplete markets equilibrium change of measure is approximated and identified using the log return mean, variance, and kurtosis. an exact equilibrium interpretation is also provided, allowing inference about relative risk aversion coefficients from option prices. Relative to Black-Scholes, V. G. option values are higher, particularly so for out of the money options with long maturity on stocks with high means, low variances, and high kurtosis. 2006 Blackwell Publishing Journal Backfiles 1879-2005 |2006|||||||||| option pricing Milne, Frank verfasserin aut In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 1(1991), 4, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:1 year:1991 number:4 pages:0 http://dx.doi.org/10.1111/j.1467-9965.1991.tb00018.x text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 1 1991 4 0 |
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10.1111/j.1467-9965.1991.tb00018.x doi (DE-627)NLEJ241820936 DE-627 ger DE-627 rakwb Madan, Dilip B. verfasserin aut Option Pricing With V. G. Martingale Components Oxford, UK Blackwell Publishing Ltd 1991 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier European call options are priced when the uncertainty driving the stock price follows the V. G. stochastic process (Madan and Seneta 1990). the incomplete markets equilibrium change of measure is approximated and identified using the log return mean, variance, and kurtosis. an exact equilibrium interpretation is also provided, allowing inference about relative risk aversion coefficients from option prices. Relative to Black-Scholes, V. G. option values are higher, particularly so for out of the money options with long maturity on stocks with high means, low variances, and high kurtosis. 2006 Blackwell Publishing Journal Backfiles 1879-2005 |2006|||||||||| option pricing Milne, Frank verfasserin aut In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 1(1991), 4, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:1 year:1991 number:4 pages:0 http://dx.doi.org/10.1111/j.1467-9965.1991.tb00018.x text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 1 1991 4 0 |
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10.1111/j.1467-9965.1991.tb00018.x doi (DE-627)NLEJ241820936 DE-627 ger DE-627 rakwb Madan, Dilip B. verfasserin aut Option Pricing With V. G. Martingale Components Oxford, UK Blackwell Publishing Ltd 1991 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier European call options are priced when the uncertainty driving the stock price follows the V. G. stochastic process (Madan and Seneta 1990). the incomplete markets equilibrium change of measure is approximated and identified using the log return mean, variance, and kurtosis. an exact equilibrium interpretation is also provided, allowing inference about relative risk aversion coefficients from option prices. Relative to Black-Scholes, V. G. option values are higher, particularly so for out of the money options with long maturity on stocks with high means, low variances, and high kurtosis. 2006 Blackwell Publishing Journal Backfiles 1879-2005 |2006|||||||||| option pricing Milne, Frank verfasserin aut In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 1(1991), 4, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:1 year:1991 number:4 pages:0 http://dx.doi.org/10.1111/j.1467-9965.1991.tb00018.x text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 1 1991 4 0 |
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10.1111/j.1467-9965.1991.tb00018.x doi (DE-627)NLEJ241820936 DE-627 ger DE-627 rakwb Madan, Dilip B. verfasserin aut Option Pricing With V. G. Martingale Components Oxford, UK Blackwell Publishing Ltd 1991 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier European call options are priced when the uncertainty driving the stock price follows the V. G. stochastic process (Madan and Seneta 1990). the incomplete markets equilibrium change of measure is approximated and identified using the log return mean, variance, and kurtosis. an exact equilibrium interpretation is also provided, allowing inference about relative risk aversion coefficients from option prices. Relative to Black-Scholes, V. G. option values are higher, particularly so for out of the money options with long maturity on stocks with high means, low variances, and high kurtosis. 2006 Blackwell Publishing Journal Backfiles 1879-2005 |2006|||||||||| option pricing Milne, Frank verfasserin aut In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 1(1991), 4, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:1 year:1991 number:4 pages:0 http://dx.doi.org/10.1111/j.1467-9965.1991.tb00018.x text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 1 1991 4 0 |
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Option Pricing With V. G. Martingale Components |
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European call options are priced when the uncertainty driving the stock price follows the V. G. stochastic process (Madan and Seneta 1990). the incomplete markets equilibrium change of measure is approximated and identified using the log return mean, variance, and kurtosis. an exact equilibrium interpretation is also provided, allowing inference about relative risk aversion coefficients from option prices. Relative to Black-Scholes, V. G. option values are higher, particularly so for out of the money options with long maturity on stocks with high means, low variances, and high kurtosis. |
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European call options are priced when the uncertainty driving the stock price follows the V. G. stochastic process (Madan and Seneta 1990). the incomplete markets equilibrium change of measure is approximated and identified using the log return mean, variance, and kurtosis. an exact equilibrium interpretation is also provided, allowing inference about relative risk aversion coefficients from option prices. Relative to Black-Scholes, V. G. option values are higher, particularly so for out of the money options with long maturity on stocks with high means, low variances, and high kurtosis. |
| abstract_unstemmed |
European call options are priced when the uncertainty driving the stock price follows the V. G. stochastic process (Madan and Seneta 1990). the incomplete markets equilibrium change of measure is approximated and identified using the log return mean, variance, and kurtosis. an exact equilibrium interpretation is also provided, allowing inference about relative risk aversion coefficients from option prices. Relative to Black-Scholes, V. G. option values are higher, particularly so for out of the money options with long maturity on stocks with high means, low variances, and high kurtosis. |
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