On Mean Variance Option Pricing Models

Authors

Peter H. Ritchken
Robin Scott Symes
Harvey M. Salkin

Document Type

Report

Publication Date

7-1-1982

Abstract

The purpose of this note is to develop a mean variance pricing model for options which are traded in a lognormal security market. The mean variance pricing model derived corrects formulation errors in a finite period pricing model developed by Lee, Rao and Auchmuty [5]. The behavior of these new prices is compared to the behavior of Black-Scholes prices [3].

Keywords

Operations research, Options (Finance), Portfolio management, Investments, Risk management, Analysis of variance, Lognormal distribution

Publication Title

Technical Memorandums from the Department of Operations, School of Management, Case Western Reserve University

Issue

Technical memorandum no. 513

Rights

This work is in the public domain and may be freely downloaded for personal or academic use

Recommended Citation

Ritchken, Peter H.; Symes, Robin Scott; and Salkin, Harvey M., "On Mean Variance Option Pricing Models" (1982). Research Reports from the Department of Operations. 358.
https://commons.case.edu/wsom-ops-reports/358