The finance literature has revealed no fewer than 11 alternative versions of the binomial option pricing model for options on lognormally distributed assets. These models are derived under a variety of assumptions and in some cases require information that is ordinarily unnecessary to value...

Unconditional pricing models fail to support a positive risk–return trade-off. When excess market return is negative an inverse relationship between the capital asset pricing model (CAPM) beta and equal-weighted and value-weighted portfolio return is observed. To accommodate market...