Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/159259
Authors: 
Cesari, Riccardo
D`Adda, Carlo
Year of Publication: 
2001
Series/Report no.: 
Quaderni - Working Paper DSE 418
Abstract: 
In this paper we propose a simple approach to asset valuation in terms of two characteristics, expected value and expected variability, and their distinct marginal contributions to the value of the market portfolio. The result is shown to correspond to Sharpe's CAPM. We then show that pricing in terms of characteristics (or CAPM) applies to any asset and in particular to option valuation. A pricing formula corresponding to Black and Scholes' no-arbitrage option pricing is obtained under the assumption of normal asset price distributions.
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/3.0/
Document Type: 
Working Paper

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