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N. Branger and C. Schlag, “Option Betas: Risk Measures for Options,” International Journal of Theoretical and Applied Finance, Vol. 10, No. 7, 2007, pp. 1137-1157. doi:10.1142/S0219024907004585

has been cited by the following article:

• TITLE: Generalized Option Betas

  AUTHORS: Sven Husmann, Neda Todorova

  KEYWORDS: Option Pricing; Beta; Capital Asset Pricing Model

  JOURNAL NAME: Journal of Mathematical Finance, Vol.3 No.3, August 8, 2013

  ABSTRACT: This paper extends the option betas presented by Cox and Rubinstein (1985) and Branger and Schlag (2007). In particular, we show how the beta of the underlying asset affects both an option’s covariance beta and its asset pricing beta. In contrast to Branger and Schlag (2007), the generalized option betas coincide if the options are evaluated according to the CAPM option pricing model of Husmann and Todorova (2011). The option betas are presented in terms of Black-Scholes option prices and are therefore easy to use in practice.