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MEHR ERFAHREN

VroniPlag Wiki


Typus
KomplettPlagiat
Bearbeiter
SleepyHollow02
Gesichtet
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Untersuchte Arbeit:
Seite: 77, Zeilen: 7-18
Quelle: Trigeorgis 1993
Seite(n): 205, Zeilen: right col, last paragraph
The actual valuation of options in practice has been greatly facilitated by Cox and Ross's (1976) recognition that an option can be replicated (or a "synthetic option" created) from an equivalent portfolio of traded securities. Thus, investors are independent of risk attitudes or capital market equilibrium considerations. Such risk-neutral valuation enables present-value discounting of expected future payoffs (with actual probabilities replaced with risk-neutral ones) at the risk-free interest rate, a fundamental characteristic of arbitrage-free price systems involving traded securities. Rubinstein (1976) further showed that standard option pricing formulas can be alternatively derived under risk aversion, and that the existence of continuous trading opportunities enabling a riskless hedge or risk neutrality, are not really necessary.

Cox, J. and Ross, S. 1976, "The Valuation of Options for Alternative Stochastic Processes," Journal of Financial Economics. 145-166 (January 1976).

Rubinstein, M. 1976, "The Valuation of Uncertain Income Streams and the Pricing of Options," Bell Journal of Economics, pp. 407-425 (Autumn 1976).

The actual valuation of options in practice has been greatly facilitated by Cox and Ross's [26] recognition that an option can be replicated (or a "synthetic option" created) from an equivalent portfolio of traded securities. Being independent of risk attitudes or capital market equilibrium considerations, such risk-neutral valuation enables present-value discounting, at the risk-free interest rate, of expected future payoffs (with actual probabilities replaced with risk-neutral ones), a fundamental characteristic of ’arbitrage-free” price systems involving traded securities. Rubinstein [87] further showed that standard option pricing formulas can be alternatively derived under risk aversion. and that the existence of continuous trading opportunities enabling a riskless hedge or risk neutrality are not really necessary.

26. J. Cox and S. Ross. "The Valuation of Options for Alternative Stochastic Processes." Journal of Financial Economics (January 1976). pp. 145-166.

87. M. Rubinstein. "The Valuation of Uncertain Income Streams and the Pricing of Options," Bell Journal of Economics (Autumn 1976), pp. 407-425.

Anmerkungen

No quotation marks.

The actual source is given on p. 74 and p. 81.

Sichter
(SleepyHollow02) Schumann