The Valuation of Options When Asset Returns Are Generated by a Binomial Process
研究当资产收益在有限时间内由二项过程生成时，如何对期权进行定价，发现若投资者偏好属于特定类别，即使没有对冲机会，期权与标的股票之间也存在简单定价关系。
ABSTRACT This paper values options on assets whose returns, over a finite interval of time, are generated by a binomial process. It shows that a simple valuation relationship, between the option and the underlying stock, obtains if investors have preference functions that belong to a particular class, even if opportunities to hedge do not exist. One particular application of the theory is in the case where the stock price over a finite interval could increase by an amount, fall by the same amount, or stay at the same level. The results in this paper may be viewed as the foundation of the preference‐based approaches to obtaining a risk neutral valuation relationship.