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- W2018119168 abstract "Assuming that the financial market is complete and distinguishing between market risk and idiosyncratic risk, we obtain a new pricing formula for a European call where the parameters include the volatilities of the market factor and that of the stock. Such a result is then extended to the case of an incomplete market, using a market factor replicating portfolio (MFR), which can be substituted to the market factor of risk, when the number of stocks is high enough. The price of a European call on a stock may then be expressed in terms of the volatilities of the MFR portfolio and of the underlying stock (and of its beta). Finally, we compare our formula to that of Black and Scholes and to the valuation proposed by Corrado and Su. We focus on the existence of a volatility smile and we give an explanation competing with the one proposed by stochastic volatility models." @default.
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- W2018119168 date "2002-10-01" @default.
- W2018119168 modified "2023-10-02" @default.
- W2018119168 title "Systematic risk and idiosyncratic risk: a useful distinction for valuing European options" @default.
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- W2018119168 doi "https://doi.org/10.1016/s1042-444x(02)00013-0" @default.
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