CAPM option pricing |
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Authors: | Sven Husmann Neda Todorova |
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Affiliation: | Department of Business Administration, European University Viadrina, Große Scharrnstraße 59, D-15230 Frankfurt (Oder), Germany |
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Abstract: | This paper extends the option pricing equations of [Black and Scholes, 1973], [Jarrow and Madan, 1997] and [Husmann and Stephan, 2007]. In particular, we show that the length of the individual planning horizon is a determinant of an option’s value. The derived pricing equations can be presented in terms of the Black and Scholes [1973. Journal of Political Economy 81, 637–654] option values which ensures an easy application in practice. |
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Keywords: | JEL classification: G11 G13 C02 C68 |
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