Similar Search Results

Narrow search

A simple formula for the insurance premium in the Black-Scholes model

Brenner, Menachem; Subrahmanyam, Marti G. - In: Banking review 6 (1998), pp. 43-49

Persistent link: https://www.econbiz.de/10001354099

When are options overpriced? : The Black-Scholes model and alternative characterisations of the pricing kernel

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - 1999

Persistent link: https://www.econbiz.de/10001378686

When are options overpriced? : The Black-Scholes model and alternative characteristics of the pricing kernel

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - 1999

Persistent link: https://www.econbiz.de/10001378810

When are options overpriced? : the Black-Scholes model and alternative characterisations of the pricing kernel

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - 1999 - This draft: January 15, 1999

An important determinant of option prices is the elasticity of the pricing kernel used to price all claims in the economy. In this paper, we first show that for a given forward price of the underlying asset, option prices are higher when the elasticity of the pricing kernel is declining than...

Persistent link: https://www.econbiz.de/10011545120

When are options overpriced? : The Black-Scholes model and alternative characterisations of the pricing kernel

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - In: European finance review : the official journal of the … 3 (1999) 1, pp. 79-102

Persistent link: https://www.econbiz.de/10001653159