Two-Dimensional Risk-Neutral Valuation Relationships forthe Pricing of Options.

We price European-style options on assets whose probability distributions have two unknown parameters. We assume a pricing kernel which also has two unknown parameters. When certain conditions are met, a two-dimensional risk-neutral valuation relationship exists for the pricing of these options: the relationship between the price of the option andthe prices of the underlying asset...

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Year of publication:	2005-07-25
Authors:	Franke, Günter ; Huang, James ; Stapleton, Richard C.
Institutions:	Manchester Business School
Subject:	Wahrscheinlichkeitsverteilung \| Optionspreis \| option pricing \| Black-Scholes-Modell

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Extent:	276480 bytes 31 p. application/pdf
Series:	Manchester Business School - Research - Working Papers No. 498 (2007)
Type of publication:	Book / Working Paper
Language:	English
Classification:	Financial theory ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

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