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Capped Accumulated Return Call Option
, 2022 https://finpricing.com/lib/FxAccumulator ...
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Explicit Pricing Formulas for European Option with Asset Exposed to Double Defaults Risk
Discrete Dynamics in Nature and Society, 2018 We derive analytical formulas for European call and put options on underlying assets that are exposed to double defaults risks which include exogenous counterparty default risk and endogenous default risk.
Taoshun He
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Influence of Transaction Costs on Foreign Exchange Option Contracts: Intra-Daily Tests
The International Journal of Banking and Finance, 2010 This paper tests the impact of transaction cost specication on deviations from lower boundary and put-call parity properties. Using PHLX traded foreign exchange options, prices for puts and calls are matched to the nearest five minutes.
Ariful Hoque +2 more
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Option prices with call prices [PDF]
, 2012 There exist several methods how more general options can be priced with call prices. In this article, we extend these results to cover a wider class of options and market models. In particular, we introduce a new pricing formula which can be used to price more general options if prices for call options and digital options are known for every strike ...
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Behavioral Preferences for Individual Securities: The Case for Call Warrants and Call Options [PDF]
Since 1998, large investment banks have flooded the European capital markets with issues of call warrants.This has led to a unique situation in the Netherlands, where now call warrants, traded on the stock exchange, and long-term call options, traded on ...
Horst, J.R. ter, Veld, C.H.
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Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary [PDF]
This paper presents a new numerical method for pricing American call options when the volatility of the price of the underlying stock is stochastic.
Elias Tzavalis, Shijun Wang
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A Model of Deferred Callability in Defaultable Debt [PDF]
Banks and other financial institutions raise hybrid capital as part of their risk capital. Hybrid capital has no maturity, but, similarily to most corporate debt, includes an embedded issuer's call option.
Mjøs, Aksel, Persson, Svein-Arne
core
On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options [PDF]
We extend a framework based on Mellin transforms and show how to modify the approach to value American call options on dividend paying stocks. We present a new integral equation to determine the price of an American call option and its free boundary ...
Frontczak, Robert, Schöbel, Rainer
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Asymmetric Uncertainty Around Earnings Announcements: Evidence from Options Markets
American Business ReviewWe use the Indian stock options market to study the evolution of uncertainty and asymmetric uncertainty around earnings announcements (EAs). We find that uncertainty (implied volatility) and asymmetric uncertainty (options skew) increase monotonically ...
Sumit Saurav +2 more
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Business: Theory and Practice, 2018 We analyse security design parameters of 1,115 high yield (HY) and investment grade (IG) event risk covenants (ERC) protected issues between 1986 and 2012 from the agency conflict perspective.
Manish Tewari
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