THEORY OF OPTION STRATEGY UNDER RISK AVERSION

被引：7
|
作者：
HAUSMAN, WH
WHITE, WL
机构：
来源：
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1968年 / 3卷 / 03期
关键词：
D O I：
10.2307/2329818
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
引用
收藏
页码：343 / 358
页数：16
相关论文
共 50 条
  • [1] SECURITY OPTION STRATEGY UNDER RISK AVERSION - ANALYSIS
    MCGUIGAN, JR
    KING, WR
    JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1973, 8 (01) : 1 - 15
  • [2] Minimum option prices under decreasing absolute risk aversion
    Mathur K.
    Ritchken P.
    Review of Derivatives Research, 1999, 3 (2) : 135 - 156
  • [3] Option pricing by large risk aversion utility under transaction costs
    Bouchard B.
    Kabanov Yu.M.
    Touzi N.
    Decisions in Economics and Finance, 2001, 24 (2) : 127 - 136
  • [4] Option pricing with random risk aversion
    Vitiello, Luiz
    Poon, Ser-Huang
    REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING, 2022, 58 (04) : 1665 - 1684
  • [5] Option pricing with random risk aversion
    Luiz Vitiello
    Ser-Huang Poon
    Review of Quantitative Finance and Accounting, 2022, 58 : 1665 - 1684
  • [6] Optimal portfolio ordering decision based on option contract under risk aversion
    Wang H.
    Xu Q.
    Jisuanji Jicheng Zhizao Xitong/Computer Integrated Manufacturing Systems, CIMS, 2017, 23 (11): : 2533 - 2540
  • [7] Investment timing and implied option value for risk-aversion entrepreneurs under macroeconomic risk
    Tan, Yingxian
    Yuan, Jun
    Luo, Pengfei
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2024, 95
  • [8] Option pricing under time-varying risk-aversion with applications to risk forecasting
    Kiesel, Ruediger
    Rahe, Florentin
    JOURNAL OF BANKING & FINANCE, 2017, 76 : 120 - 138
  • [9] THEORY OF RISK-AVERSION AND THE THEORY OF RISK
    NACHMAN, DC
    JOURNAL OF ECONOMIC THEORY, 1979, 21 (02) : 317 - 335
  • [10] Option-implied risk aversion estimates
    Bliss, RR
    Panigirtzoglou, N
    JOURNAL OF FINANCE, 2004, 59 (01): : 407 - 446
12345