English, Article edition: OPTION BETAS: RISK MEASURES FOR OPTIONS NICOLE BRANGER; CHRISTIAN SCHLAG

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/83343
Physical Description
  • article
Language
  • English

Edition details

Title
  • OPTION BETAS: RISK MEASURES FOR OPTIONS
Author
  • NICOLE BRANGER
  • CHRISTIAN SCHLAG
Physical Description
  • article
Notes
  • This paper deals with the problem of determining the correct risk measure for options in a BlackâScholes (BS) framework when time is discrete. For the purposes of hedging or testing simple asset pricing relationships previous papers used the "local", i.e., the continuous-time, BS beta as the measure of option risk even over discrete time intervals. We derive a closed-form solution for option betas over discrete return periods where we distinguish between "covariance betas" and "asset pricing betas". Both types of betas involve only simple BlackâScholes option prices and are thus easy to compute. However, the theoretical properties of these discrete betas are fundamentally different from those of local betas. We also analyze the impact of the return interval on two performance measures, the Sharpe ratio and the Treynor measure. The dependence of both measures on the return interval is economically significant, especially for OTM options.
  • Option pricing, beta, hedging, Sharpe ratio, Treynor measure
  • RePEc:wsi:ijtafx:v:10:y:2007:i:07:p:1137-1157
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment