CAPM option pricing
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Sven Husmann & Andreas Stephan, 2007. "On estimating an asset's implicit beta," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(10), pages 961-979, October.
- Rubinstein, Mark, 1984. " A Simple Formula for the Expected Rate of Return of an Option over a Finite Holding Period," Journal of Finance, American Finance Association, vol. 39(5), pages 1503-1509, December.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
- Joel M. Vanden, 2004. "Options Trading and the CAPM," Review of Financial Studies, Society for Financial Studies, vol. 17(1), pages 207-238.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Buchner, Axel, 2015. "Equilibrium option pricing: A Monte Carlo approach," Finance Research Letters, Elsevier, vol. 15(C), pages 138-145.
- Villena, Marcelo & Villena, Mauricio, 2011. "Option Pricing in an Oligopolistic Setting," MPRA Paper 57978, University Library of Munich, Germany, revised 16 Aug 2014.
- Chen, Son-Nan & Chiang, Mi-Hsiu & Hsu, Pao-Peng & Li, Chang-Yi, 2014. "Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model," Finance Research Letters, Elsevier, vol. 11(2), pages 161-172.
- Arısoy, Yakup Eser & Altay-Salih, Aslıhan & Pınar, Mustafa Ç, 2014.
"Optimal multi-period consumption and investment with short-sale constraints,"
Finance Research Letters,
Elsevier, vol. 11(1), pages 16-24.
- Eser Arisoy & Aslihan Altay-Salih & Mustafa Pinar, 2014. "Optimal Multi-Period Consumption and Investment with Short-Sale Constraints," Post-Print hal-01634168, HAL.
- Buchner, Axel, 2016. "Risk-adjusting the returns of private equity using the CAPM and multi-factor extensions," Finance Research Letters, Elsevier, vol. 16(C), pages 154-161.
More about this item
KeywordsCapital asset pricing model; Option pricing; Planning horizon; Incomplete markets;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:8:y:2011:i:4:p:213-219. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/frl .