منابع مشابه
Theory of Rational Option Pricing
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متن کاملFAQ’s in Option Pricing Theory
We consider several Frequently Asked Questions (FAQ’s) in option pricing theory. I thank Ajay Khanna and Carol Marquardt for their comments.
متن کاملA Theory of Non-Gaussian Option Pricing
A generalized option-pricing formula is found, based on a nonGaussian stock price model. The dynamics of the underlying stock are assumed to follow a stochastic process with anomalous nonlinear diffusion, phenomenologically modelled as a statistical feedback process within the framework of the generalized thermostatistics proposed by Tsallis. A generalized form of the Black-Scholes differential...
متن کاملRational Shopping Behavior and the Option Value of Variable Pricing
When a product’s price fluctuates at a store, how should rational, cost-minimizing shoppers shop for it? Specifically, how frequently should they visit the store, and how much of the product should they buy when they get there? Would this rational shopping behavior differ across Every Day Low Price (EDLP) and Promotional Pricing (HILO) stores? If shoppers are rational, which retail price format...
متن کاملValuating Privacy with Option Pricing Theory
One of the key challenges of the information society is responsible handling of personal data. An often-cited reason why people fail to make rational decisions regarding their own informational privacy is the high uncertainty about future consequences of information disclosures today. This paper builds an analogy to financial options and draws on principles of option pricing to account for this...
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ژورنال
عنوان ژورنال: The Bell Journal of Economics and Management Science
سال: 1973
ISSN: 0005-8556
DOI: 10.2307/3003143