Risk and Derivative Price

Preprint OPEN
Yusuke Osaki;
(2007)
  • Subject: Derivative price, Noise risk, Nonlineality, Risk aversion, Risk and Uncertainty, D51, D81, G12, | Derivative price, Noise risk, Nonlineality, Risk aversion
    • jel: jel:G12 | jel:D51 | jel:D81
    arxiv: Computer Science::Computational Engineering, Finance, and Science

We consider an asset market traded three types of assets: the risk–free asset, the market portfolio and derivatives written on the market portfolio return. We determine a sufficient condition to guarantee that noise risk monotonically changes their derivatives. The cond... View more
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