CAPM and option pricing with elliptically contoured distributions

@inproceedings{Hamada2007CAPMAO,
  title={CAPM and option pricing with elliptically contoured distributions},
  author={Mahmoud Hamada},
  year={2007}
}
This paper offers an alternative proof of the Capital Asset Pricing Model (CAPM) when asset returns follow a multivariate elliptical distribution. Empirical studies continue to demonstrate the inappropriateness of the normality assumption for modelling asset returns. The class of elliptically contoured distributions, which includes the more familiar Normal distribution, provides flexibility in modelling the thickness of tails associated with the possibility that asset returns take extreme… CONTINUE READING

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