dc.contributor.author | Ibañez Rodríguez, Alfredo | es-ES |
dc.date.accessioned | 2019-03-18T15:17:34Z | |
dc.date.available | 2019-03-18T15:17:34Z | |
dc.date.issued | 01/02/2008 | es_ES |
dc.identifier.issn | 0378-4266 | es_ES |
dc.identifier.uri | http://hdl.handle.net/11531/35856 | |
dc.description | Artículos en revistas | es_ES |
dc.description.abstract | El precio de una opción Americana lo factorizamos en tres componentes: el precio de la cartera replicatente, un risk premium, y un early-exercise premium. | es-ES |
dc.description.abstract | In a standard option-pricing model, with continuous-trading and diffusion processes, this paper shows that the price of one European-style option can be factorized into two intuitive components: One robust, X0, which is priced by arbitrage, and a second, [Pi]0, which depends on a risk orthogonal to the traded securities. This result implies the following: (1) In an incomplete market, these parts represent the price of a hedging portfolio, which is unique, and a premium, which depends only on the risk premiums associated with the residual risk, respectively. (2) In a complete market, it allows factoring the contribution of the different sources of risk to the final option price. For example, in a stochastic volatility model, we can quantify the impact on the option price of volatility risk relative to market risk, [Pi]0 and X0, respectively. Hence, certain misspricings in option markets can be directly related to the premium, [Pi]0. (3) Moreover, these results extend to American securities, which have a third component - an additional early-exercise premium. | en-GB |
dc.language.iso | es-ES | es_ES |
dc.rights | Creative Commons Reconocimiento-NoComercial-SinObraDerivada España | es_ES |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | es_ES |
dc.source | Revista: Journal of Banking and Finance, Periodo: 1, Volumen: 32, Número: 2, Página inicial: 311, Página final: 325 | es_ES |
dc.title | Factorization of European and American Option Prices under Complete and Incomplete Markets | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.description.version | info:eu-repo/semantics/publishedVersion | es_ES |
dc.rights.holder | | es_ES |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | es_ES |
dc.keywords | American/European options, Risk premium; Hedging, Price factorization | es-ES |
dc.keywords | American/European options, Risk premium; Hedging, Price factorization | en-GB |