Journal of Financial Economics
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Опубликовано на портале: 03-10-2003Richard Roll Journal of Financial Economics. 1977. Vol. 4. No. 2. P. 129-176.
Testing the two-parameter asset pricing theory is difficult (and currently infeasible). Due to a mathematical equivalence between the individual return/beta'linearity relation and the market portfolio's mean-variance efficiency, any valid test presupposes complete knowledge of the true market portfolio's composition. This implies, inter alia, that every individual asset must be included in a correct test. Errors of inference inducible by incomplete tests are discussed and some ambiguities in published tests are explained.
An analytic valuation formula for unprotected American call options on stocks with known dividends [статья]
Опубликовано на портале: 06-10-2004Richard Roll Journal of Financial Economics. 1977. Vol. 5. No. 2. P. 251-258 .
Sometimes it pays to exercise an American-type call option prematurely, just prior to a cash emission by the underlying security. Such an option can be expressed as a combination of three European-type options whose valuation formulae are known.
Options: A Monte Carlo approach [статья]
Опубликовано на портале: 06-10-2004Phelim P. Boyle Journal of Financial Economics. 1977. Vol. 4. No. 3. P. 323-338 .
This paper develops a Monte Carlo simulation method for solving option valuation problems. The method simulates the process generating the returns on the underlying asset and invokes the risk neutrality assumption to derive the value of the option. Techniques for improving the efficiency of the method are introduced. Some numerical examples are given to illustrate the procedure and additional applications are suggested.