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An Econometric Model for Option Price with Implications for Investors' Expectations and Audacity

Sheen T. Kassouf
Econometrica
Vol. 37, No. 4 (Oct., 1969), pp. 685-694
Published by: The Econometric Society
DOI: 10.2307/1910443
Stable URL: http://www.jstor.org/stable/1910443
Page Count: 10
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
An Econometric Model for Option Price with Implications for Investors' Expectations and Audacity
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Abstract

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.

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