haku: @author Franke, G. / yhteensä: 23
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| Tekijä: | Franke, G. Stapleton, R. C. Subrahmanyam, M. G. |
| Otsikko: | When are options overpriced? The Black-Scholes model and alternative characterisations of the pricing kernal |
| Lehti: | European Finance Review
1999 : VOL. 3:1, p. 79-102 |
| Asiasana: | Option prices Option valuation Capital asset pricing |
| Kieli: | eng |
| Tiivistelmä: | The authors first show that for a given forward price of the underlying asset, option prices are higher when the elasticity of the pricing kernal is declining than when it is constant. They then investigate the implications of the elasticity of the pricing kernal for the stochastic process followed by the underlying asset. |
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