کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5069898 1373215 2008 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Option prices as probabilities
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Option prices as probabilities
چکیده انگلیسی
Four distribution functions are associated with call and put prices seen as functions of their strike and maturity. The random variables associated with these distributions are identified when the process for moneyness defined as the stock price relative to the forward price is a positive local martingale with no positive jumps that tends to zero at infinity. Results on calls require moneyness to be a continuous martingale as well. It is shown that for puts the distributions in the strike are those for the remaining supremum while for calls, they relate to the remaining infimum. In maturity we see the distribution functions for the last passage times of moneyness to strike.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 5, Issue 2, June 2008, Pages 79-87
نویسندگان
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