000			02125cam a22003017 4500
001			w0264
003			NBER
005			20211020115521.0
006			m o d
007			cr cnu||||||||
008			210910s1978 mau fo 000 0 eng d
100	1		_aMcCulloch, J. Huston.
245	1	4	_aThe Pricing of Short-Lived Options When Price Uncertainty Is Log-Symmetric Stable / _cJ. Huston McCulloch.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c1978.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w0264
500			_aJuly 1978.
520	3		_aThe well-known option pricing formula of Black and Scholes depends upon the assumption that price fluctuations are log-normal. However, this formula greatly underestimates the value of options with a low probability of being exercised if, as appears to be more nearly the case in most markets, price fluctuations are in fact symmetrics table or log-symmetric stable. This paper derives a general formula for the value of a put or call option in a general equilibrium, expected utility maximization context. This general formula is found to yield the Black-Scholes formula for a wide variety of underlying processes generating log-normal price uncertainty. It is then used to derive the value of a short-lived option for certain processes that generate log-symmetric stable price uncertainty. Our analysis is restricted to short-lived options for reasons of mathematical tractability. Nevertheless, the formula is useful for evaluating many types of risk.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w0264.
856	4	0	_uhttps://www.nber.org/papers/w0264
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w0264
942			_2ddc _cW-PAPER
999			_c348362 _d306924