haku: @author Chang, J. S. K. / yhteensä: 4
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| Tekijä: | Bosch, J. C. Chang, J. S. K. |
| Otsikko: | Option valuation in incomplete markets : a discrete-time CAPM approach. |
| Lehti: | Journal of Business Finance and Accounting
1991 : JUN, VOL. 18:4, p. 553-566 |
| Asiasana: | OPTIONS CAPITAL ASSET PRICING PORTFOLIO INVESTMENT |
| Kieli: | eng |
| Tiivistelmä: | The Chang and Shanker APT-based option pricing model with truncated normal distribution of stock returns is shown to be compatible with a discrete-time incomplete-market version of the CAPM. In contrast, the Black-Scholes model is compatible with a continuous-time CAPM with continuous markets and long normality of stock returns. Hence, both formulas are compatible with standard portfolio theory albeit under different market structure and distributional assumptions. While some of the assumptions underlying the Chang-Shanker model are more realistic, others are superior in the Black-Scholes model. The results of extensive comparative tests suggest that neither model is clearly superior to the other. |
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