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Asymptotic analysis of American call options [PDF]
International Journal of Mathematics and Mathematical Sciences, 2001 American call options are financial derivatives that give the holder the right but not the obligation to buy an underlying security at a pre-determined price.
Ghada Alobaidi, Roland Mallier
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Call Options and Accruals Quality [PDF]
SSRN Electronic Journal, 2004 We analyze the link between financial reporting choices that affect accruals quality and firms' use of call options. We argue that call options used in compensation arrangements (employee stock options or ESOs) create countervailing incentives for ...
Francis, Jennifer +2 more
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PRICING OF CALL OPTIONS USING THE QUASI MONTE CARLO METHOD
Barekeng, 2023 A call option is a type of option that grants the option holder the right to buy an asset at a specified price within a specified period of time. Determining the option price period of time within a certain period of time is the most important part of ...
Indah Oktaviani +2 more
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Toxic Asset Subsidies and the Early Redemption of TALF Loans
International Journal of Financial Studies, 2022 This paper develops a formula to numerically estimate the unsubsidized, fair-market value of the toxic assets purchased with Federal Reserve loans. It finds that subsidy rates on these loans were on average 33.9 percent at origination.
Linus Wilson
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Pricing and Hedging Bond Power Exchange Options in a Stochastic String Term-Structure Model
Risks, 2022 We study power exchange options written on zero-coupon bonds under a stochastic string term-structure framework. Closed-form expressions for pricing and hedging bond power exchange options are obtained and, as particular cases, the corresponding ...
Lloyd P. Blenman +2 more
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An Asymptotic Solution for Call Options on Zero-Coupon Bonds
Mathematics, 2021 We present an asymptotic solution for call options on zero-coupon bonds, assuming a stochastic process for the price of the bond, rather than for interest rates in general.
Michael J. Tomas, Jun Yu
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Borsa Istanbul Review, 2022 This study compares the performances of neural network and Black-Scholes models in pricing BIST30 (Borsa Istanbul) index call and put options with different volatility forecasting approaches.
Zeynep İltüzer
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Statistically fair price for the European call options according to the discreet mean/variance model [PDF]
Компьютерные исследования и моделирование, 2014 We consider a portfolio with call option and the corresponding underlying asset under the standard assumption that stock-market price represents a random variable with lognormal distribution.
Anastasiya Sergeevna Odintsova +1 more
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Pricing Options Embedded in Corporate Bonds Using the Binomial Method
Econometric Research in Finance, 2023 It is common for a corporate bond to include a call provision that gives the issuing company an option to call, or redeem, the bond at some prespecified set of call prices before the stated maturity date.
Qi Liu
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Tackling Investment Risks Using Equity Options During Extreme Economic Upheavals: Indian Evidence
Colombo Business Journal, 2021 The study is an empirical scrutiny on the Indian equity options market to examine whether it facilitates the reduction of investment risks, focusing on an economic sphere with financial upheavals.
James Varghese
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