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  • Generalized Option Betas

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    91509_1.pdf (189.8Kb)
    Author(s)
    Husmann, Sven
    Todorova, Neda
    Griffith University Author(s)
    Todorova, Neda
    Year published
    2013
    Metadata
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    Abstract
    This paper extends the option betas presented by Cox and Rubinstein (1985) and Branger and Schlag (2007). In par- ticular, we show how the beta of the underlying asset affects both an option's covariance beta and its asset pricing beta. In contrast to Branger and Schlag (2007), the generalized option betas coincide if the options are evaluated according to the CAPM option pricing model of Husmann and Todorova (2011). The option betas are presented in terms of Black- Scholes option prices and are therefore easy to use in practice.This paper extends the option betas presented by Cox and Rubinstein (1985) and Branger and Schlag (2007). In par- ticular, we show how the beta of the underlying asset affects both an option's covariance beta and its asset pricing beta. In contrast to Branger and Schlag (2007), the generalized option betas coincide if the options are evaluated according to the CAPM option pricing model of Husmann and Todorova (2011). The option betas are presented in terms of Black- Scholes option prices and are therefore easy to use in practice.
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    Journal Title
    Journal of Mathematical Finance
    Volume
    3
    DOI
    https://doi.org/10.4236/jmf.2013.33035
    Copyright Statement
    © 2013 The authors and SciRes. This is an Open Access article distributed under the terms of the Creative Commons Attribution 3.0 Unported (CC BY 3.0) License (http://creativecommons.org/licenses/by/3.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
    Subject
    Finance
    Applied Mathematics
    Banking, Finance and Investment
    Publication URI
    http://hdl.handle.net/10072/57225
    Collection
    • Journal articles

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