• myGriffith
    • Staff portal
    • Contact Us⌄
      • Future student enquiries 1800 677 728
      • Current student enquiries 1800 154 055
      • International enquiries +61 7 3735 6425
      • General enquiries 07 3735 7111
      • Online enquiries
      • Staff phonebook
    View Item 
    •   Home
    • Griffith Research Online
    • Journal articles
    • View Item
    • Home
    • Griffith Research Online
    • Journal articles
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Browse

  • All of Griffith Research Online
    • Communities & Collections
    • Authors
    • By Issue Date
    • Titles
  • This Collection
    • Authors
    • By Issue Date
    • Titles
  • Statistics

  • Most Popular Items
  • Statistics by Country
  • Most Popular Authors
  • Support

  • Contact us
  • FAQs
  • Admin login

  • Login
  • CAPM option pricing

    Thumbnail
    View/Open
    77475_1.pdf (248.1Kb)
    Author(s)
    Husmann, Sven
    Todorova, Neda
    Griffith University Author(s)
    Todorova, Neda
    Year published
    2011
    Metadata
    Show full item record
    Abstract
    This paper extends the optionpricing equations of [Black and Scholes, 1973], [Jarrow and Madan, 1997] and [Husmann and Stephan, 2007]. In particular, we show that the length of the individual planning horizon is a determinant of an option's value. The derived pricing equations can be presented in terms of the Black and Scholes [1973. Journal of Political Economy 81, 637-654]option values which ensures an easy application in practice.This paper extends the optionpricing equations of [Black and Scholes, 1973], [Jarrow and Madan, 1997] and [Husmann and Stephan, 2007]. In particular, we show that the length of the individual planning horizon is a determinant of an option's value. The derived pricing equations can be presented in terms of the Black and Scholes [1973. Journal of Political Economy 81, 637-654]option values which ensures an easy application in practice.
    View less >
    Journal Title
    Finance Research Letters
    Volume
    8
    Issue
    4
    DOI
    https://doi.org/10.1016/j.frl.2011.03.001
    Copyright Statement
    © 2011 Elsevier. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.
    Subject
    Banking, finance and investment
    Investment and risk management
    Publication URI
    http://hdl.handle.net/10072/44858
    Collection
    • Journal articles

    Footer

    Disclaimer

    • Privacy policy
    • Copyright matters
    • CRICOS Provider - 00233E
    • TEQSA: PRV12076

    Tagline

    • Gold Coast
    • Logan
    • Brisbane - Queensland, Australia
    First Peoples of Australia
    • Aboriginal
    • Torres Strait Islander