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dc.contributor.authorSatchell, Stephen E.-
dc.contributor.authorStapleton, Richard C.-
dc.contributor.authorSubrahmanyam, Marti G.-
dc.date.accessioned2008-05-29T20:11:37Z-
dc.date.available2008-05-29T20:11:37Z-
dc.date.issued1997-02-07-
dc.identifier.urihttp://hdl.handle.net/2451/27095-
dc.description.abstractThis paper assumes that the underlying asset prices are lognormally distributed and drives necessary and sufficient conditions for the valuation of options using a Black-Scholes type methodology. It is shown that the price of a futures-style, market-to-market option is given by Black’s formula if the pricing kernel is lognormally distributed. Assuming that this condition is fulfilled, it is then shown that the Black-Scholes formula prices a spot-settled contingent claim, if the interest-rate accumulation factor is lognormally distributed. Otherwise, the Black-Scholes formula holds if the product of the pricing kernel and the interest-rate accumulation factor is lognormally distributed.en
dc.language.isoen_USen
dc.relation.ispartofseriesFIN-96-037en
dc.titleThe Pricing of Market-to-Market Contingent Claims in a No-Arbitrage Economyen
dc.typeWorking Paperen
Appears in Collections:Finance Working Papers

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