A Simple Approach to CAPM, Option Pricing and Asset Valuation

Cesari, Riccardo ; D’Adda, Carlo (2003) A Simple Approach to CAPM, Option Pricing and Asset Valuation. Bologna: Dipartimento di Scienze economiche DSE, DOI 10.6092/unibo/amsacta/4827. In: Quaderni - Working Paper DSE (467). ISSN 2282-6483.
Full text disponibile come:
[thumbnail of 467.pdf]
Anteprima
Documento di testo(pdf)
Licenza: Creative Commons Attribution 2.5 (CC BY 2.5)

Download (149kB) | Anteprima

Abstract

In this paper we propose a simple, intuitive approach to asset valuation in terms of marginal contributions to the characteristics (moments) of the market portfolio. Considering only the first two moments, mean and variance, the valuation equation is shown to correspond to Sharpe’s CAPM. A risk-neutral pricing formula is easily derived, showing the equivalence between CAPM and the Black and Scholes’ model. Extensions to higher moments like skewness and kurtosis are straightforward, providing a generalized valuation equation. Finally, the generalized equation is derived in a different, more rigorous way, as a result of a classical intertemporal general equilibrium model.

Abstract
Tipologia del documento
Monografia (Working paper)
Autori
AutoreAffiliazioneORCID
Cesari, Riccardo
D’Adda, Carlo
Settori scientifico-disciplinari
ISSN
2282-6483
DOI
Data di deposito
10 Mar 2016 10:35
Ultima modifica
10 Mar 2016 10:35
URI

Altri metadati

Statistica sui download

Statistica sui download

Gestione del documento: Visualizza il documento

^