CAPM option pricing
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DOI: 10.1016/j.frl.2011.03.001
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- Eser Arisoy & Aslihan Altay-Salih & Mustafa Pinar, 2014. "Optimal Multi-Period Consumption and Investment with Short-Sale Constraints," Post-Print hal-01634168, HAL.
- Villena, Marcelo & Villena, Mauricio, 2011. "Option Pricing in an Oligopolistic Setting," MPRA Paper 57978, University Library of Munich, Germany, revised 16 Aug 2014.
- Buchner, Axel, 2015. "Equilibrium option pricing: A Monte Carlo approach," Finance Research Letters, Elsevier, vol. 15(C), pages 138-145.
- Chen, Son-Nan & Chiang, Mi-Hsiu & Hsu, Pao-Peng & Li, Chang-Yi, 2014. "Valuation of quanto options in a Markovian regime-switching market: A Markov-modulated Gaussian HJM model," Finance Research Letters, Elsevier, vol. 11(2), pages 161-172.
- Buchner, Axel, 2016. "Risk-adjusting the returns of private equity using the CAPM and multi-factor extensions," Finance Research Letters, Elsevier, vol. 16(C), pages 154-161.
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More about this item
Keywords
Capital asset pricing model; Option pricing; Planning horizon; Incomplete markets;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models
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