CAPM option pricing

被引：6
|
作者：
Husmann, Sven [1 ]
Todorova, Neda [1 ]
机构：
[1] European Univ Viadrina, Dept Business Adm, D-15230 Frankfurt, Oder, Germany
来源：
FINANCE RESEARCH LETTERS | 2011年 / 8卷 / 04期
关键词：
Capital asset pricing model; Option pricing; Planning horizon; Incomplete markets;
D O I：
10.1016/j.frl.2011.03.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper extends the option pricing equations of Black and Scholes [1973. Journal of Political Economy 81, 637-654], Jarrow and Madan [1997. European Finance Review 1, 15-30] and Husmann and Stephan [2007. Journal of Futures Markets 27, 961-979]. In particular, we show that the length of the individual planning horizon is a determinant of an option's value. The derived pricing equations can be presented in terms of the Black and Scholes [1973. Journal of Political Economy 81, 637-654] option values which ensures an easy application in practice. (C) 2011 Elsevier Inc. All rights reserved.
引用
收藏
页码：213 / 219
页数：7
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