Option investing from a risk-return perspective: The relationship between the binomial model and the CAPM

Journal of Portfolio Management

Volumn 25, Issue SUPPL., 1999, Pages 109-121

  Rendleman Jr , Richard J ^a  

^a UNIVERSITY OF NORTH CAROLINA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 20144370975     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.1999.319700     Document Type: Article

References (8)

1. Black, Fischer, and Myron Scholes. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy, 81 (May/June 1973), pp. 637-654.
2. Cox, John C., Stephen Ross, and Mark Rubinstein. "Option Pricing: A Simplified Approach." Journal of Financial Economics, 7 (December 1979), pp. 229-264.
3. Cox, John C., and Mark Rubinstein. Options Markets. Englewood Cliffs, NJ: Prentice-Hall, 1985.
4. Fama, E.F., and K.R. French. "The Cross Section of Expected Stock Returns." Journal of Finance, 47 (1992), pp. 427-465.
5. Merton, Robert C. "An Intertemporal Capital Asset Pricing Model." Econometrica, 41 (September 1973), pp. 867-887.
6. Rendleman, Richard J., Jr., and Brit J. Bartter. "Two-State Option Pricing." Journal of Finance, 34 (December 1979), pp. 1093-1110.
7. Rubinstein, Mark. "A Simple Formula for the Expected Rate of Return of an Option over a Finite Holding Period." Journal of Finance, 39 (1984), pp. 1503-1509.
8. Sprenkle, C.M. "Warrant Prices as Indicators of Expectations and Preferences." Yale Economic Essays, Vol. 1, No. 2 (1961), pp. 172-231.