When are Options Overpriced? The Black-Scholes Model and Alternative Characterizations of the Pricing Kernel
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- Chiaki Hara, 2019. "Heterogeneous Impatience of Individual Consumers and Decreasing Impatience of the Representative Consumer," KIER Working Papers 1009, Kyoto University, Institute of Economic Research.
- Franke, Günter & Weber, Martin, 2001.
"Heterogeneity of Investors and Asset Pricing in a Risk-Value World,"
CoFE Discussion Papers
01/08, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Franke, Günter & Weber, Martin, 2003. "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CEPR Discussion Papers 3832, C.E.P.R. Discussion Papers.
- Lüders, Erik, 2002. "Why Are Asset Returns Predictable?," ZEW Discussion Papers 02-48, ZEW - Leibniz Centre for European Economic Research.
- Lüders, Erik & Franke, Günter, 2005. "Return predictability and stock market crashes in a simple rational expectations model," CoFE Discussion Papers 05/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Hara, Chiaki & Huang, James & Kuzmics, Christoph, 2007.
"Representative consumer's risk aversion and efficient risk-sharing rules,"
Journal of Economic Theory, Elsevier, vol. 137(1), pages 652-672, November.
- Hara, C. & Christoph Kuzmics, 2004. "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," Cambridge Working Papers in Economics 0452, Faculty of Economics, University of Cambridge.
- Hara, Chiaki & 原, 千秋 & ハラ, チアキ & Huang, James & Kuzmics, Christoph, 2007. "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," Discussion Paper 323, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
- Chiaki Hara & James Huang & Christoph Kuzmics, 2006. "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," KIER Working Papers 620, Kyoto University, Institute of Economic Research.
- Luiz Vitiello & Ser-Huang Poon, 2022. "Option pricing with random risk aversion," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1665-1684, May.
- Bjarne Astrup Jensen & Jørgen Aase Nielsen, 2016. "How suboptimal are linear sharing rules?," Annals of Finance, Springer, vol. 12(2), pages 221-243, May.
- Schröder, Michael & Lüders, Erik, 2004.
"Modeling Asset Returns: A Comparison of Theoretical and Empirical Models,"
ZEW Discussion Papers
04-19 [rev.], ZEW - Leibniz Centre for European Economic Research.
- Lüders, Erik & Schröder, Michael, 2004. "Modeling Asset Returns: A Comparison of Theoretical and Empirical Models," ZEW Discussion Papers 04-19, ZEW - Leibniz Centre for European Economic Research.
- Sutthisit Jamdee & Cornelis A. Los, 2005. "Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate," Finance 0502021, University Library of Munich, Germany.
- Lüders, Erik & Lüders-Amann, Inge & Schröder, Michael, 2004. "The Power Law and Dividend Yields," ZEW Discussion Papers 04-51, ZEW - Leibniz Centre for European Economic Research.
- Bertram Düring, 2009.
"Asset pricing under information with stochastic volatility,"
Review of Derivatives Research, Springer, vol. 12(2), pages 141-167, July.
- Düring, Bertram, 2008. "Asset pricing under information with stochastic volatility," CoFE Discussion Papers 08/04, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Niehaus, Frank, 2001.
"The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model,"
Hannover Economic Papers (HEP)
dp-234, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Frank Niehaus, 2001. "The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model," CeNDEF Workshop Papers, January 2001 2A.2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Frank Niehaus, 2001. "The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model," Computing in Economics and Finance 2001 60, Society for Computational Economics.
- Nizar Riane, 2023. "The inverse Black-Scholes problem in Radon measures space revisited: towards a new measure of market uncertainty," Papers 2303.16773, arXiv.org.
- Franke, Günter & Lüders, Erik, 2004. "Why Do Asset Prices Not Follow Random Walks?," CoFE Discussion Papers 04/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Tarik Driouchi & Lenos Trigeorgis & Raymond H. Y. So, 2018. "Option implied ambiguity and its information content: Evidence from the subprime crisis," Annals of Operations Research, Springer, vol. 262(2), pages 463-491, March.
- Franke, Günter & Lüders, Erik, 2006. "Return predictability and stock market crashes in a simple rational expectation models," CoFE Discussion Papers 06/05, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Lüders, Erik, 2002. "Asset Prices and Alternative Characterizations of the Pricing Kernel," ZEW Discussion Papers 02-10, ZEW - Leibniz Centre for European Economic Research.
- Jan Wenzelburger, 2013. "Risk sharing in a financial market with endogenous option prices," The European Journal of Finance, Taylor & Francis Journals, vol. 19(6), pages 491-517, July.
- Shiyi Chen & Wolfgang Härdle & Rouslan Moro, 2006. "Estimation of Default Probabilities with Support Vector Machines," SFB 649 Discussion Papers SFB649DP2006-077, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Frank Niehaus, 2000. "A Simple Option Pricing Model With Heterogeneous Agents," Computing in Economics and Finance 2000 342, Society for Computational Economics.
- Lüders, Erik & Peisl, Bernhard, 2001. "How do investors' expectations drive asset prices?," ZEW Discussion Papers 01-15, ZEW - Leibniz Centre for European Economic Research.
- Guenter Franke & James Huang & Richard Stapleton, 2006. "Two-dimensional risk-neutral valuation relationships for the pricing of options," Review of Derivatives Research, Springer, vol. 9(3), pages 213-237, November.
- Bertram Düring & Erik Lüders, 2005. "Option Prices Under Generalized Pricing Kernels," Review of Derivatives Research, Springer, vol. 8(2), pages 97-123, August.
- James Huang, 2003. "Impact of Divergent Consumer Confidence on Option Prices," Review of Derivatives Research, Springer, vol. 6(3), pages 165-177, October.
- Luiz Vitiello & Ser-Huang Poon, 2014. "Non-monotonic pricing kernel and an extended class of mixture of distributions for option pricing," Review of Derivatives Research, Springer, vol. 17(2), pages 241-259, July.
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