Martingale restrictions and the implied market price of risk

被引：4
|
作者：
Turvey, Calum G.
Komar, Sridar
机构：
[1] Cornell Univ, Dept Appl Econ & Management, Ithaca, NY 14853 USA
[2] Washington State Univ, Pullman, WA 99164 USA
来源：
CANADIAN JOURNAL OF AGRICULTURAL ECONOMICS-REVUE CANADIENNE D AGROECONOMIE | 2006年 / 54卷 / 03期
关键词：
D O I：
10.1111/j.1744-7976.2006.00056.x
中图分类号：
F3 [农业经济];
学科分类号：
0202 ; 020205 ; 1203 ;
摘要：
The market price of risk is conceptually one of the most critical artifacts of modern finance, since it provides the linkage between equilibrium and arbitrage models of derivatives pricing. In this paper, the market price of risk is derived for options on live cattle futures contracts. It provides a technique to extract the implied market price of risk (iMPR), which is conceptually similar to that used in extracting implied volatilities. It is shown that the iMPR is not linear across strike prices as theory suggests it should.
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页码：379 / 399
页数：21
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