EconStor >
Universität Konstanz >
Center of Finance and Econometrics (CoFE), Universität Konstanz >
CoFE-Diskussionspapiere, Universität Konstanz >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/32190
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorFranke, Günteren_US
dc.contributor.authorHuang, Jamesen_US
dc.contributor.authorStapleton, Richard C.en_US
dc.date.accessioned2009-09-16en_US
dc.date.accessioned2010-05-14T12:00:47Z-
dc.date.available2010-05-14T12:00:47Z-
dc.date.issued2007en_US
dc.identifier.piurn:nbn:de:bsz:352-opus-116603-
dc.identifier.urihttp://hdl.handle.net/10419/32190-
dc.description.abstractThe Black-Scholesmodelis basedona one-parameter pricingkernel with constantelasticity. Theoretical and empirical results suggest declining elasticity and, hence, a pricing kernel withat leasttwo parameters.We price European-style optionson assets whose probability distributions have two unknown parameters. We assume a pricing kernel which also has two unknown parameters. When certain conditions are met,atwo-dimensional risk-neutral valuation relationship exists for the pricing of these options: i.e. the relationshipbetween the price of the option and the prices of the underlying asset and one other option on the assetisthe sameasitwouldbe under risk neutrality.In this classofmodels,the priceof the underlying asset and that of one other option take the place of the unknown parameters.en_US
dc.language.isoengen_US
dc.publisherCoFE Konstanzen_US
dc.relation.ispartofseriesDiscussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz 2007,08en_US
dc.subject.ddc330en_US
dc.titleTwo-dimensional risk neutral valuation relationships for the pricing of optionsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn608929883en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:CoFE-Diskussionspapiere, Universität Konstanz

Files in This Item:
File Description SizeFormat
608929883.pdf226.59 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.