MARC record from Internet Archive

LEADER: 01930cam 2200265Ia 4500
001 6449149
005 20110207175612.0
008 110205e198206uuilu b s000 0 eng d
035 $a(OCoLC)ocn700758811
040 $aUIU$beng$cUIU$dUIU
092 $a330$bB385, no.870-889
049 $aUIUU
100 1 $aGilster, John E.
245 14 $aThe effects of transaction costs and different borrowing and lending rates on the option pricing model /$cJohn E. Gilster, William Lee.
260 $a[Urbana, Ill.] :$bCollege of Commerce and Business Administration, Bureau of Economic and Business Research, University of Illinois at Urbana-Champaign,$cJune 1982.
300 $a[1] leaf, 26 p. :$btables ;$c28 cm.
490 1 $aBEBR faculty working paper ;$vno. 874
504 $aIncludes bibliographical references (p. 26).
520 3 $aThis paper solves a stochastic differential equation to demonstrate that the market imperfections of transaction costs and different borrowing and lending rates partially offset each other to yield a range of equilibrium prices for an option. The Black-Scholes model price is shown to be in the lower portion of, or entirely below, the equilibrium range. These observations are used to explain several of the mythical anomalies found in the option pricing literature. The paper also points out that under some conditions there may be NO equilibrium option price. Instead there may be a bounded disequilibrium within which a single option will offer a risk free return above the Treasury bill rate, while SIMULTANEOUSLY permitting borrowing below the borrowing rate.
650 0 $aOptions (Finance)
700 1 $aLee, William.
710 2 $aUniversity of Illinois at Urbana-Champaign.$bCollege of Commerce and Business Administration.
710 2 $aUniversity of Illinois at Urbana-Champaign.$bBureau of Economic and Business Research.
830 0 $aBEBR faculty working paper ;$vno. 874.
994 $aC0$bUIU