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http://hdl.handle.net/1942/10642
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DC Field | Value | Language |
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dc.contributor.author | MERCKEN, Roger | - |
dc.contributor.author | MOTMANS, Lisette | - |
dc.contributor.author | HOUBEN, Ghislain | - |
dc.date.accessioned | 2010-03-01T13:48:16Z | - |
dc.date.available | NO_RESTRICTION | - |
dc.date.issued | 2010 | - |
dc.identifier.citation | EURO ECONOMICA, 24(1). p. 63-70 | - |
dc.identifier.issn | 1582-8859 | - |
dc.identifier.uri | http://hdl.handle.net/1942/10642 | - |
dc.description.abstract | This paper covers the valuation, from beginning to implementation, of a European call option on a stock using the multi-step binomial model in a risk-neutral world. The aim is to introduce this model in a simple but rather unconventional way. The usual presentation of the risk-neutral valuation, see Hull (2009), among others, relies on replicating portfolios. For most practitioners, this technique looks rather mysterious. We present a new transparent analysis requiring no replicating portfolios. The new finding to understand why the risk-neutral pricing is consistent with investors being risk-averse is the notion of a convex combination. | - |
dc.language.iso | en | - |
dc.publisher | Danubius University of Galati | - |
dc.title | No more replicating portfolios : a simple convex combination to understand the risk-neutral valuation method for the multi-step binomial valuation of a call option. | - |
dc.type | Journal Contribution | - |
dc.identifier.epage | 70 | - |
dc.identifier.issue | 1 | - |
dc.identifier.spage | 63 | - |
dc.identifier.volume | 24 | - |
local.bibliographicCitation.jcat | A2 | - |
dc.description.notes | Hasselt University, Faculty of Business Economics, KIZOK, roger.mercken@uhasselt.be - Hasselt University, Faculty of Business Economics, ZW, lisette.motmans@uhasselt.be - Hasselt University, Faculty of Business Economics, KIZOK, ghislain.houben@uhasselt.be | - |
local.type.refereed | Refereed | - |
local.type.specified | Article | - |
dc.bibliographicCitation.oldjcat | A2 | - |
dc.identifier.url | http://journals.univ-danubius.ro/index.php/euroeconomica/article/view/267 | - |
item.fulltext | With Fulltext | - |
item.accessRights | Open Access | - |
item.fullcitation | MERCKEN, Roger; MOTMANS, Lisette & HOUBEN, Ghislain (2010) No more replicating portfolios : a simple convex combination to understand the risk-neutral valuation method for the multi-step binomial valuation of a call option.. In: EURO ECONOMICA, 24(1). p. 63-70. | - |
item.contributor | MERCKEN, Roger | - |
item.contributor | MOTMANS, Lisette | - |
item.contributor | HOUBEN, Ghislain | - |
crisitem.journal.issn | 1582-8859 | - |
Appears in Collections: | Research publications |
Files in This Item:
File | Description | Size | Format | |
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Calloptions.pdf | Non Peer-reviewed author version | 93.64 kB | Adobe PDF | View/Open |
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