haku: @indexterm SHARE OPTIONS / yhteensä: 177
viite: 18 / 177
Tekijä: | Chang, J. S. K. Shanker, L. |
Otsikko: | Option pricing and the arbitrage pricing theory. |
Lehti: | Journal of Financial Research
1987 : SPRING, VOL. 10:1, p. 1-16 |
Asiasana: | SHARE OPTIONS PRICING ARBITRAGE PRICING THEORY |
Kieli: | eng |
Tiivistelmä: | An application of the arbitrage pricing theory to option pricing, based on the assumption there is one common factor, when the underlying asset of an option is the sole risk factor, which explains its expected return. Based on this relationship, a new and simple option pricing formula is obtained and some existing option pricing formulae are reproduced. The authors stress that the empirical results show the new formula performs as well as the Black-Scholes formula. |
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