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Two-dimensional risk-neutral valuation relationships for the pricing of options

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  • Guenter Franke
  • James Huang
  • Richard Stapleton

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  • Guenter Franke & James Huang & Richard Stapleton, 2006. "Two-dimensional risk-neutral valuation relationships for the pricing of options," Review of Derivatives Research, Springer, vol. 9(3), pages 213-237, November.
    • Handle: RePEc:kap:revdev:v:9:y:2006:i:3:p:213-237
    DOI: 10.1007/s11147-007-9009-3
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    References listed on IDEAS

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    1. Ait-Sahalia, Yacine & Lo, Andrew W., 2000. "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 9-51.
    2. John H. Cochrane & Jesus Saa-Requejo, 2000. "Beyond Arbitrage: Good-Deal Asset Price Bounds in Incomplete Markets," Journal of Political Economy, University of Chicago Press, vol. 108(1), pages 79-119, February.
    3. Pan, Jun, 2002. "The jump-risk premia implicit in options: evidence from an integrated time-series study," Journal of Financial Economics, Elsevier, vol. 63(1), pages 3-50, January.
    4. Liu, Xiaoquan & Shackleton, Mark B. & Taylor, Stephen J. & Xu, Xinzhong, 2007. "Closed-form transformations from risk-neutral to real-world distributions," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1501-1520, May.
    5. Rosenberg, Joshua V. & Engle, Robert F., 2002. "Empirical pricing kernels," Journal of Financial Economics, Elsevier, vol. 64(3), pages 341-372, June.
    6. Guntar Franke & Richard C. Stapleton & Marti G. Subrahmanyam, 1999. "When are Options Overpriced? The Black-Scholes Model and Alternative Characterizations of the Pricing Kernel," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-003, New York University, Leonard N. Stern School of Business-.
    7. Franke, Günter & Stapleton, Richard C. & Subrahmanyam, Marti G., 1999. "When are Options Overpriced? The Black-Scholes Model and Alternative Characterisations of the Pricing Kernel," CoFE Discussion Papers 99/01, University of Konstanz, Center of Finance and Econometrics (CoFE).
    8. Günter Franke & Richard C. Stapleton & Marti G. Subrahmanyam, 1999. "When are Options Overpriced? The Black—Scholes Model and Alternative Characterisations of the Pricing Kernel," Review of Finance, European Finance Association, vol. 3(1), pages 79-102.
    9. Brennan, M J, 1979. "The Pricing of Contingent Claims in Discrete Time Models," Journal of Finance, American Finance Association, vol. 34(1), pages 53-68, March.
    10. Benninga, Simon & Mayshar, Joram, 2000. "Heterogeneity and option pricing," Research Report 00E08, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    11. Guenter Franke & Richard C. Stapleton & Marti G. Subrahmanyam, 1999. "When are Options Overpriced? The Black-Scholes Model and Alternative Characterisations of the Pricing Kernel," Finance 9904004, University Library of Munich, Germany.
    12. Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2005. "Option pricing: Real and risk-neutral distributions," CoFE Discussion Papers 05/06, University of Konstanz, Center of Finance and Econometrics (CoFE).
    13. Jackwerth, Jens Carsten, 2000. "Recovering Risk Aversion from Option Prices and Realized Returns," The Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 433-451.
    14. Peter Ryan, 2000. "Tighter Option Bounds from Multiple Exercise Prices," Review of Derivatives Research, Springer, vol. 4(2), pages 155-188, May.
    15. Mark Rubinstein, 1976. "The Valuation of Uncertain Income Streams and the Pricing of Options," Bell Journal of Economics, The RAND Corporation, vol. 7(2), pages 407-425, Autumn.
    16. repec:bla:jfinan:v:59:y:2004:i:5:p:2375-2402 is not listed on IDEAS
    17. Chernov, Mikhail & Ghysels, Eric, 2000. "A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation," Journal of Financial Economics, Elsevier, vol. 56(3), pages 407-458, June.
    18. Heston, Steven L, 1993. "Invisible Parameters in Option Prices," Journal of Finance, American Finance Association, vol. 48(3), pages 933-947, July.
    19. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    20. Rubinstein, Mark, 1983. "Displaced Diffusion Option Pricing," Journal of Finance, American Finance Association, vol. 38(1), pages 213-217, March.
    21. Antonio E. Bernardo & Olivier Ledoit, 2000. "Gain, Loss, and Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 108(1), pages 144-172, February.
    22. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    23. repec:dgr:rugsom:00e08 is not listed on IDEAS
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    Cited by:

    1. Nicole Branger & Antje Mahayni, 2011. "Tractable hedging with additional hedge instruments," Review of Derivatives Research, Springer, vol. 14(1), pages 85-114, April.

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    More about this item

    Keywords

    Option pricing; Pricing kernel; G13;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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