CAPM option pricing

Husmann, Sven; Todorova, Neda

doi:10.1016/j.frl.2011.03.001

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Author

Husmann, Sven

Todorova, Neda

Year published

2011

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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.
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Journal Title

Finance Research Letters

Volume

Issue

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

Investment and Risk Management

Publication URI

http://hdl.handle.net/10072/44858

Collection

Journal articles