The implied market price of risk

dc.contributor.advisorTurvey, Calum G.
dc.contributor.authorKomar, Sridar
dc.date.accessioned2020-12-08T16:40:36Z
dc.date.available2020-12-08T16:40:36Z
dc.date.copyright2002
dc.degree.departmentDepartment of Agricultural Economics and Businessen_US
dc.degree.grantorUniversity of Guelphen_US
dc.degree.nameMaster of Scienceen_US
dc.description.abstractThere are two main approaches for pricing the options. The first one is the arbitrage argument of Black and Scholes (1973), and the second one is the equilibrium approach of Cox and Ross (1976). The purpose of this study is to compare and contrast the arbitrage and equilibrium models, to develop a method to estimate the implied market price of risk and to statistically test the consistency of arbitrage and equilibrium models. In the first section of the thesis, we theoretically compare and contrast the arbitrage and equilibrium models and also perform an empirical analysis to show the options pricing results they produce. A method to calculate the implied market price of risk is developed using convergence algorithm. The actual calculation of the implied market price of risk is unique to this study in that although conceptually it has been widely used in theory, its calculation was not found in a literature search. In addition, without an actual calculation of the market price of risk, it is impossible, in practice, to compare the equilibrium and arbitrage models. (Abstract shortened by UMI.)en_US
dc.identifier.urihttps://hdl.handle.net/10214/23377
dc.language.isoen
dc.publisherUniversity of Guelphen_US
dc.rights.licenseAll items in the Atrium are protected by copyright with all rights reserved unless otherwise indicated.
dc.subjectprice of risken_US
dc.subjectarbitrageen_US
dc.subjectequilibrium modelsen_US
dc.subjectmarket price of risken_US
dc.titleThe implied market price of risken_US
dc.typeThesisen_US

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