A new proof on Rubinstein ’ s formula ∗

@inproceedings{ChengANP,
  title={A new proof on Rubinstein ’ s formula ∗},
  author={Wai-yan Cheng}
}
  • Wai-yan Cheng
Rubinstein (1984) derive a formula for expected return on options. The result did not draw much attention until recently. In different contents, the formula is used to derive closed-form formulas for risk and performance measures. We give a new proof of the formula in this note. The proof illustrates the interaction between the " subjective " and risk… CONTINUE READING