G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w0264
来源IDWorking Paper 0264
The Pricing of Short-Lived Options When Price Uncertainty Is Log-Symmetric Stable
J. Huston McCulloch
发表日期1978-07-01
出版年1978
语种英语
摘要The well-known option pricing formula of Black and Scholes depends upon the assumption that price fluctuations are log-normal. However, this formula greatly underestimates the value of options with a low probability of being exercised if, as appears to be more nearly the case in most markets, price fluctuations are in fact symmetrics table or log-symmetric stable. This paper derives a general formula for the value of a put or call option in a general equilibrium, expected utility maximization context. This general formula is found to yield the Black-Scholes formula for a wide variety of underlying processes generating log-normal price uncertainty. It is then used to derive the value of a short-lived option for certain processes that generate log-symmetric stable price uncertainty. Our analysis is restricted to short-lived options for reasons of mathematical tractability. Nevertheless, the formula is useful for evaluating many types of risk.
URLhttps://www.nber.org/papers/w0264
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/557438
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GB/T 7714
J. Huston McCulloch. The Pricing of Short-Lived Options When Price Uncertainty Is Log-Symmetric Stable. 1978.
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