Some New Results on When Extra Risk Strictly Increases an Option's Value-Reference-Cited by-同舟云学术

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Some New Results on When Extra Risk Strictly Increases an Option's Value

Published:2012-03-15 Issue:1 Volume:33 Page:44-54
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J. Fut. Mark.

Author:

Huang James¹,Zhang Deyuan²

Affiliation:

1. James Huang is with the Department of Accounting and Finance, Lancaster University, Lancaster, Lancashire, United Kingdom

2. Deyuan Zhang is with the School of International Business Administration, Shanghai University of Finance and Economics, Shanghai, China

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference12 articles.

1. Bliss , R. R. 2000 The pitfalls in inferring risk from financial market data http://ideas.repec.org/p/fip/fedhwp/wp-00-24.html

2. Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model;Chateauneuf;Journal of Mathematical Economics,2004

3. Relatively weak increases in risk and their comparative statics;Eeckhoudt;Economics Letters,1993

4. When are options overpriced: The Black-Scholes model and alternative characterizations of the pricing kernel;Franke;European Finance Review,1999

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