A Generalization of the Brennan-Rubinstein Approach for the Pricing of Derivatives  

Oleh:

Camara, Antonio

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 58 no. 2 (Apr. 2003), page 805-819.
Fulltext: p 805.pdf (144.72KB)

Isi artikel

This paper derives preference-free option pricing equations in a discrete time economy where asset returns have continuous distributions.There is a representative agent who has risk preferences with an exponential representation. Aggregate wealth and the underlying asset price have transformed normal distributions which may ormay not belong to the same family of distributions. Those pricing results are particularly valuable (a) to shownewsu/cient conditions for existing risk-neutral option pricing equations (e.g., the Black- Scholes model), and (b) to obtain newa nalytical solutions for the price of European- style contingent claims when the underlying asset has a transformed normal distribution (e.g., a negatively skewl ognormal distribution).

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