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The effect of incidental out-of-stock options on preferences

✍ Scribed by Thomas Kramer; Ryall Carroll

Book ID
106454857
Publisher
Springer US
Year
2008
Tongue
English
Weight
164 KB
Volume
20
Category
Article
ISSN
0923-0645

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πŸ“œ SIMILAR VOLUMES

The Valuation of Options with Restrictio
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## Abstract This article develops a discrete‐time, risk‐neutral valuation relation (RNVR) for the pricing of contingent claims when preferences in the economy are characterized by decreasing absolute risk aversion and the marginal distribution of the underlying is an inverse coshnormal. The RNVR is