https://scholars.lib.ntu.edu.tw/handle/123456789/414912
標題: | A new simple square root option pricing model | 作者: | C?mara A. Wang Y.-H. |
公開日期: | 2010 | 卷: | 30 | 期: | 11 | 起(迄)頁: | 1007-1025 | 來源出版物: | Journal of Futures Markets | 摘要: | This study derives a simple square root option pricing model using a general equilibrium approach in an economy where the representative agent has a generalized logarithmic utility function. Our option pricing formulae, like the Black-Scholes model, do not depend on the preference parameters of the utility function of the representative agent. Although the Black-Scholes model introduces limited liability in asset prices by assuming that the logarithm of the stock price has a normal distribution, our basic square root option pricing model introduces limited liability by assuming that the square root of the stock price has a normal distribution. The empirical tests on the S&P 500 index options market show that our model has smaller fitting errors than the Black-Scholes model, and that it generates volatility skews with similar shapes to those observed in the marketplace. ? 2010 Wiley Periodicals, Inc. Jrl Fut Mark. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414912 | ISSN: | 02707314 | DOI: | 10.1002/fut.20458 |
顯示於: | 財務金融學系 |
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