Option pricing : valuing derived claims in incomplete security markets

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dc.contributor.advisorPettit, R. Richardson
dc.contributor.committeeMemberWyatt, Steve
dc.contributor.committeeMemberMcFarland, James W.
dc.contributor.committeeMemberMorris, James R.
dc.contributor.committeeMemberBosch, Jean-Claude
dc.creatorChang, Shih-Kang
dc.date.accessioned2023-05-25T17:43:37Z
dc.date.available2023-05-25T17:43:37Z
dc.date.copyright1984-06-19
dc.date.issued1982
dc.description.abstractThe purpose of this dissertation is to investigate the inherent relationship between the theory of the economic role of options and various approaches to option pricing. It is argued that the economic theory underlying the pricing of options should dictate why and how options are valued. The fundamental issue is that the assumptions of existing option pricing models cause options to be valued in a market environment in which options serve no economic purpose and therefore would not necessarily be issued. Hence a paradox exists. A new approach to option pricing is suggested. Options should be valued based on the assumption that they exist for the purpose of providing completeness for the capital market. Thus the efficiency of the economic system is enhanced. The approach which is suggested is developed initially in the context of the standard Capital Asset Pricing Model and then extended using the Arbitrage Pricing Theory framework. This has resulted in new option pricing formulas which contain many existing formulas as special cases.
dc.description.departmentBusiness, C. T. Bauer College of
dc.format.digitalOriginreformatted digital
dc.format.mimetypeapplication/pdf
dc.identifier.other11174418
dc.identifier.urihttps://hdl.handle.net/10657/14222
dc.language.isoen
dc.rightsThis item is protected by copyright but is made available here under a claim of fair use (17 U.S.C. Section 107) for non-profit research and educational purposes. Users of this work assume the responsibility for determining copyright status prior to reusing, publishing, or reproducing this item for purposes other than what is allowed by fair use or other copyright exemptions. Any reuse of this item in excess of fair use or other copyright exemptions requires express permission of the copyright holder.
dc.subjectRestricted stock options
dc.subjectSecurities
dc.titleOption pricing : valuing derived claims in incomplete security markets
dc.type.dcmiText
dc.type.genreThesis
dcterms.accessRightsThe full text of this item is not available at this time because it contains documents that are presumed to be under copyright and are accessible only to users who have an active CougarNet ID. This item will continue to be made available through interlibrary loan.
thesis.degree.collegeC. T. Bauer College of Business
thesis.degree.departmentBusiness Administration, College of
thesis.degree.disciplineBusiness Administration
thesis.degree.grantorUniversity of Houston
thesis.degree.levelDoctoral
thesis.degree.nameDoctor of Philosophy

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