CAPM and option pricing with elliptically contoured distributions

Hamada, M; Valdez, EA

CAPM and option pricing with elliptically contoured distributions

Hamada, M Valdez, EA

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Publisher:: Wiley-Blackwell Publishing
Publication Type:: Journal Article
Citation:: Journal Of Risk And Insurance, 2008, 75 (2), pp. 387 - 409
Issue Date:: 2008-01

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Field	Value	Language
dc.contributor.author	Hamada, M	en_US
dc.contributor.author	Valdez, EA	en_US
dc.date.issued	2008-01	en_US
dc.identifier.citation	Journal Of Risk And Insurance, 2008, 75 (2), pp. 387 - 409	en_US
dc.identifier.issn	0022-4367	en_US
dc.identifier.uri	http://hdl.handle.net/10453/15829
dc.description.abstract	This article offers an alternative proof of the capital asset pricing model (CAPM) when asset returns follow a multivariate elliptical distribution. Empirical studies continue to demonstrate the inappropriateness of the normality assumption for modeling	en_US
dc.publisher	Wiley-Blackwell Publishing	en_US
dc.relation.ispartof	Journal Of Risk And Insurance	en_US
dc.relation.isbasedon	10.1111/j.1539-6975.2008.00265.x	en_US
dc.subject.classification	Finance	en_US
dc.title	CAPM and option pricing with elliptically contoured distributions	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	75	en_US
utslib.location.activity	ISI:000255603900007	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
dc.location.activity	ISI:000255603900007	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.issue	2	en_US
pubs.volume	75	en_US

Abstract:

This article offers an alternative proof of the capital asset pricing model (CAPM) when asset returns follow a multivariate elliptical distribution. Empirical studies continue to demonstrate the inappropriateness of the normality assumption for modeling

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http://hdl.handle.net/10453/15829