When Does Extra Risk Strictly Increase an Option's Value?
نویسندگان
چکیده
منابع مشابه
When Does Extra Risk Strictly Increase an Option’s Value?
It is well known that risk increases the value of options. This article makes that precise in a new way. The conventional theorem says that the value of an option does not fall if the underlying asset becomes riskier in the conventional sense of the mean-preserving spread. This article uses two new definitions of ‘‘riskier’’ to show that the value of an option strictly increases (i) if the unde...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.580821