On marketing strategies with options: A technique to measure risk and return

✍ Scribed by R. J. Hauser; J. S. Eales

• Book ID: 102843873
• Publisher: John Wiley and Sons
• Year: 1986
• Tongue: English
• Weight: 932 KB
• Volume: 6
• Category: Article
• ISSN: 0270-7314
• DOI: 10.1002/fut.3990060209

✦ Synopsis

In Black and Scholes' rriadel (1973). the implicit projection of the distribution is done under. the condition that + n'/2 is equal to the risk-free interest rate. whereas Black's futures option model sets p + u'/Z to 0. Thr distri1)utions projected in this article are under various levels of p + 0'/2. depending on thr assumed drift and variance expectation of the hrdger.

'His transformation of their orchard farmer's utility function results in CY = p = 1.