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An Econometric Model for Option Price with Implications for Investors' Expectations and Audacity
Sheen T. Kassouf
Vol. 37, No. 4 (Oct., 1969), pp. 685-694
Published by: The Econometric Society
Stable URL: http://www.jstor.org/stable/1910443
Page Count: 10
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Stock option prices result from the interaction of many investors of many persuasions. Previous theories of option price have been micronormative, thus having tenuous connections with observed option prices. This paper makes no assumptions about individual expectations or utilities; instead a model is specified for actual prices and tested against twenty years of data. Inferences are then made concerning the aggregate change in investors' expectations and risk attitudes through time.
Econometrica © 1969 The Econometric Society