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. DOI 10.6092/unibo/amsacta/630.
Full text disponibile come:
[thumbnail of 467.pdf]
Anteprima
Documento PDF
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
DOI
Data di deposito
17 Giu 2004
Ultima modifica
17 Feb 2016 13:59
URI

Altri metadati

Statistica sui download

Statistica sui download

Gestione del documento: Visualizza il documento

^