Option Investing from a Risk-Return Perspective - Here the author derives the binomial option model via the CAPM. The derivation makes it clear that the expected returns from options should be consistent with their risks. Thus, call options, with very positive betas, should have very high expected returns, and put options, with very negative betas, should have expected returns significantly lower ...
Year of publication: |
1999
|
---|---|
Authors: | Rendleman Jr, Richard J. |
Published in: |
The journal of portfolio management : a publication of Institutional Investor. - New York, NY : Institutional Investor, ISSN 0095-4918, ZDB-ID 1971451. - 1999, SPECI, p. 109-121
|
Saved in:
Saved in favorites
Similar items by person
-
The pricing of options on debt securities
Rendleman jr, Richard J., (1980)
-
Rendleman Jr, Richard J., (1999)
-
Barth, Mary E., (1998)
- More ...