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Media type:
Report;
E-Book
Title:
A Simple Approach to CAPM and Option Pricing
Contributor:
Cesari, Riccardo
[Author];
D'Adda, Carlo
[Author]
imprint:
Bologna: Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE), 2001
Language:
English
DOI:
https://doi.org/10.6092/unibo/amsacta/4881
Origination:
Footnote:
Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen.
Description:
In this paper we propose a simple approach to asset valuation in terms of two characteristics, expected value and expected variability, and their distinct marginal contributions to the value of the market portfolio. The result is shown to correspond to Sharpe's CAPM. We then show that pricing in terms of characteristics (or CAPM) applies to any asset and in particular to option valuation. A pricing formula corresponding to Black and Scholes' no-arbitrage option pricing is obtained under the assumption of normal asset price distributions.