| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w0264
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| 来源ID | Working Paper 0264
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| The Pricing of Short-Lived Options When Price Uncertainty Is Log-Symmetric Stable |
| J. Huston McCulloch
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| 发表日期 | 1978-07-01
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| 出版年 | 1978
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| 语种 | 英语
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| 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
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/557438
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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：
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w0264.pdf
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格式：
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Adobe PDF
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