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Some new results on when extra risk strictly increases an option's value

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Some new results on when extra risk strictly increases an option's value. / Huang, James; Zhang, Deyuan.
In: Journal of Futures Markets, Vol. 33, No. 1, 01.2013, p. 44-54.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Huang, J & Zhang, D 2013, 'Some new results on when extra risk strictly increases an option's value', Journal of Futures Markets, vol. 33, no. 1, pp. 44-54. https://doi.org/10.1002/fut.21556

APA

Huang, J., & Zhang, D. (2013). Some new results on when extra risk strictly increases an option's value. Journal of Futures Markets, 33(1), 44-54. https://doi.org/10.1002/fut.21556

Vancouver

Huang J, Zhang D. Some new results on when extra risk strictly increases an option's value. Journal of Futures Markets. 2013 Jan;33(1):44-54. Epub 2012 Mar 15. doi: 10.1002/fut.21556

Author

Huang, James ; Zhang, Deyuan. / Some new results on when extra risk strictly increases an option's value. In: Journal of Futures Markets. 2013 ; Vol. 33, No. 1. pp. 44-54.

Bibtex

@article{89e6f156c70e44009bc7fa03fc22400e,
title = "Some new results on when extra risk strictly increases an option's value",
abstract = "In this paper, we present some new results on when extra risk strictly increases an option's value. We give a necessary and sufficient condition for a mean-preserving spread to strictly increase an option's value. We also give a necessary and sufficient condition for a risk change to strictly increase the values of options with strike prices in an open interval while preserving the values of all other options. These two results significantly improve the results given by Rasmusen (2007) (When does extra risk strictly increase an option's value? Review of Financial Studies, 20, 1647–1667). ",
author = "James Huang and Deyuan Zhang",
year = "2013",
month = jan,
doi = "10.1002/fut.21556",
language = "English",
volume = "33",
pages = "44--54",
journal = "Journal of Futures Markets",
issn = "0270-7314",
publisher = "Wiley-Liss Inc.",
number = "1",

}

RIS

TY - JOUR

T1 - Some new results on when extra risk strictly increases an option's value

AU - Huang, James

AU - Zhang, Deyuan

PY - 2013/1

Y1 - 2013/1

N2 - In this paper, we present some new results on when extra risk strictly increases an option's value. We give a necessary and sufficient condition for a mean-preserving spread to strictly increase an option's value. We also give a necessary and sufficient condition for a risk change to strictly increase the values of options with strike prices in an open interval while preserving the values of all other options. These two results significantly improve the results given by Rasmusen (2007) (When does extra risk strictly increase an option's value? Review of Financial Studies, 20, 1647–1667).

AB - In this paper, we present some new results on when extra risk strictly increases an option's value. We give a necessary and sufficient condition for a mean-preserving spread to strictly increase an option's value. We also give a necessary and sufficient condition for a risk change to strictly increase the values of options with strike prices in an open interval while preserving the values of all other options. These two results significantly improve the results given by Rasmusen (2007) (When does extra risk strictly increase an option's value? Review of Financial Studies, 20, 1647–1667).

U2 - 10.1002/fut.21556

DO - 10.1002/fut.21556

M3 - Journal article

VL - 33

SP - 44

EP - 54

JO - Journal of Futures Markets

JF - Journal of Futures Markets

SN - 0270-7314

IS - 1

ER -