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
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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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
Journal: Finance Research Letters - Volume 5, Issue 2, June 2008, Pages 79-87
نویسندگان
D. Madan, B. Roynette, Marc Yor,