Option Pricing Bounds and the Elasticity of the Pricing Kernel
نویسندگان
چکیده
منابع مشابه
Option Pricing Bounds and the Elasticity of the Pricing Kernel
This paper investigates the impact on option prices of divergent consumer conÞdence. To model this, we assume that consumers disagree on the expected growth rate of aggregate consumption. With other conditions unchanged in the discrete-time Black-Scholes option-pricing model, we show that the representative consumer will have declining relative risk aversion instead of the assumed constant rela...
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ژورنال
عنوان ژورنال: Review of Derivatives Research
سال: 2004
ISSN: 1380-6645
DOI: 10.1023/b:redr.0000017027.22410.e0