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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w0264 |
来源ID | Working 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. |
URL | https://www.nber.org/papers/w0264 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/557438 |
推荐引用方式 GB/T 7714 | J. Huston McCulloch. The Pricing of Short-Lived Options When Price Uncertainty Is Log-Symmetric Stable. 1978. |
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文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w0264.pdf(166KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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