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- W3124908233 abstract "It is well known that risk increases the value of options. This paper makes that precise in a new way. The conventional theorem says that the value of an option does not fall if the underlying option becomes riskier in the conventional sense of the mean-preserving spread. This paper uses two new definitions of ``riskier'' to show that the value of an option strictly increases (a) if the underlying asset becomes ``pointwise riskier,'' and (b) only if the underlying asset becomes ``extremum riskier.''" @default.
- W3124908233 created "2021-02-01" @default.
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- W3124908233 date "2004-01-01" @default.
- W3124908233 modified "2023-09-26" @default.
- W3124908233 title "When Does Extra Risk Strictly Increase the Value of Options" @default.
- W3124908233 hasPublicationYear "2004" @default.
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