Derivative Assets Analysis
- (pp. 73-93)
AbstractDerivative assets analysis enjoys an unusual status; it is a recently developed, relatively complex tool of economic analysis, faithful to the core of economic theory, and widely used to make real-life decisions. This paper, discusses derivative assets based on buy-and-hold strategies; derivative assets based on dynamic replicating strategies; valuing and replicating other derivative assets; and the Black-Scholes option pricing formula. Then it takes a detailed look at four applications: index futures, equity options, index options, and portfolio insurance.
CitationRubinstein, Mark. 1987. "Derivative Assets Analysis." Journal of Economic Perspectives, 1 (2): 73-93. DOI: 10.1257/jep.1.2.73
- 313 Capital Markets: Theory, Including Portfolio Selection, and Empirical Studies Illustrating Theory