Results 141 to 150 of about 1,391,296 (199)
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Mathematical Finance, 2012
In this paper, having been inspired by the work of Kunita and Seko, we study the pricing of δ‐penalty game call options on a stock with a dividend payment. For the perpetual case, our result reveals that the optimal stopping region for the option seller depends crucially on the dividend rate d.
Yung, SP, Zhou, W, Yam, S
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In this paper, having been inspired by the work of Kunita and Seko, we study the pricing of δ‐penalty game call options on a stock with a dividend payment. For the perpetual case, our result reveals that the optimal stopping region for the option seller depends crucially on the dividend rate d.
Yung, SP, Zhou, W, Yam, S
openaire +4 more sources
CALICO Journal, 2010
This paper is a systematic review of research investigating help options in the different language skills in computer-assisted language learning (CALL). In this review, emerging themes along with is-sues affecting help option research are identified and discussed.
Monica S. Cárdenas-Claros +1 more
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This paper is a systematic review of research investigating help options in the different language skills in computer-assisted language learning (CALL). In this review, emerging themes along with is-sues affecting help option research are identified and discussed.
Monica S. Cárdenas-Claros +1 more
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Quantitative Finance, 2013
Alongside the British put option (Peskir and Samee [Appl. Math. Finance, 2011, 18, 537–563]) we present a new call option where the holder enjoys the early exercise feature of American options whereupon his payoff (deliverable immediately) is the ‘best prediction’ of the European payoff under the hypothesis that the true drift of the stock price equals
Goran Peskir, Farman Samee
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Alongside the British put option (Peskir and Samee [Appl. Math. Finance, 2011, 18, 537–563]) we present a new call option where the holder enjoys the early exercise feature of American options whereupon his payoff (deliverable immediately) is the ‘best prediction’ of the European payoff under the hypothesis that the true drift of the stock price equals
Goran Peskir, Farman Samee
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THE ECONOMIC VALUE OF THE CALL OPTION*
The Journal of Finance, 1972However, if either of these assumption is violated, a straight-forward application of Pye's model is no longer appropriate. In this article, we will extend Pye's analysis to obtain a generalized solution to the bond refunding problem which, while consistent with Pye's solution under the two assumptions listed above, can also be used to solve refunding ...
Elton, Edwin J, Gruber, Martin J
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Pricing of American Call Options
2010 Second International Conference on Computer Research and Development, 2010Consider an American basket call option on two assets of which the vector (S1(t) , S2(t)) of asset prices at time t follows a two-dimensional Levy process. Pricing the American call option will entail calculating the expected discounted value of its payoff.
W.L. Beh, A.H. Pooi, K.L. Goh
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Capped Accumulated Return Call Option
2023A pricing model for capped-accumulated-return-call (CARC) with volatility surface is presented. Proprietary approaches to interpreting volatility surface are employed during pricing. To accelerate the convergence when low discrepancy sequences are used in Monte Carlo simulation (Quasi-Monte Carlo simulation), the Brownian Bridge Path Construction has ...
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1992
Zur Beschreibung einer Call-Option wurde eine Call-Option auf die Aktie A mit dem Basispreis (BP) 700 und dem Termin Oktober gewahlt (siehe nachste Grafik). Der Kaufer dieser Option kann nun (mus aber nicht) die Aktie A jederzeit bis im Oktober zum Preis von DM 700 beziehen. Dieses Recht wird ihm vom Options-Verkaufer gegen ein Entgelt (= Optionspramie)
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Zur Beschreibung einer Call-Option wurde eine Call-Option auf die Aktie A mit dem Basispreis (BP) 700 und dem Termin Oktober gewahlt (siehe nachste Grafik). Der Kaufer dieser Option kann nun (mus aber nicht) die Aktie A jederzeit bis im Oktober zum Preis von DM 700 beziehen. Dieses Recht wird ihm vom Options-Verkaufer gegen ein Entgelt (= Optionspramie)
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Discounted perpetual game call options
Chaos, Solitons & Fractals, 2020Abstract The purpose of this paper is to examine the problem of pricing discounted perpetual game call options. In addition to the properties of the American options, the game options give the seller the right to cancel the contract at some chosen from him moment. As a compensation for this, he has to pay some amount above the usual payment.
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