Full metadata record
DC Field | Value | Language |
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dc.contributor.author | Satchell, Stephen E. | - |
dc.contributor.author | Stapleton, Richard C. | - |
dc.contributor.author | Subrahmanyam, Marti G. | - |
dc.date.accessioned | 2008-05-29T20:11:37Z | - |
dc.date.available | 2008-05-29T20:11:37Z | - |
dc.date.issued | 1997-02-07 | - |
dc.identifier.uri | http://hdl.handle.net/2451/27095 | - |
dc.description.abstract | This 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.iso | en_US | en |
dc.relation.ispartofseries | FIN-96-037 | en |
dc.title | The Pricing of Market-to-Market Contingent Claims in a No-Arbitrage Economy | en |
dc.type | Working Paper | en |
Appears in Collections: | Finance Working Papers |
Files in This Item:
File | Description | Size | Format | |
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wpa96037.pdf | 864.1 kB | Adobe PDF | View/Open |
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