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A Simple Formula for the Expected Rate of Return of an Option over a Finite Holding Period

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Author Info
 Rubinstein, Mark
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File URL: http://links.jstor.org/sici?sici=0022-1082%28198412%2939%3A5%3C1503%3AASFFTE%3E2.0.CO%3B2-B&origin=repec
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Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 39 (1984)
Issue (Month): 5 (December)
Pages: 1503-09
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Handle: RePEc:bla:jfinan:v:39:y:1984:i:5:p:1503-09

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  1. Christophe Faugere & Julian Van Erlach, 2003. "The Equity Premium: Explained by GDP Growth and Consistent with Portfolio Insurance," Finance 0311004, EconWPA. [Downloadable!]
  2. Bas Peeters & Cees L. Dert & André Lucas, 2003. "Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong," Tinbergen Institute Discussion Papers 03-090/2, Tinbergen Institute. [Downloadable!]
  3. Nicole Branger & Christian Schlag, 2004. "Is volatility risk priced? Properties of tests based on option hedging errors," Money Macro and Finance (MMF) Research Group Conference 2003 8, Money Macro and Finance Research Group. [Downloadable!]
  4. Bossaerts, P. & Hillion, P., 1995. "Local Parametric Analysis of Hedging in Discrete Time," Discussion Paper 23, Tilburg University, Center for Economic Research. [Downloadable!]
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  5. Nicole Branger & Christian Schlag, 2004. "Is Jump Risk Priced? - What We Can (and Cannot) Learn From Option Hedging Errors," Working Paper Series: Finance and Accounting 140, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
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