Decomposing and valuing callable convertible bonds: a new method based on exotic options [PDF]
In the framework of Black-Scholes-Merton option pricing models, by employing exotic options instead of plain options or warrants, this paper presents an equivalent decomposition method for usual Callable Convertible Bonds (CCB). Furthermore, the analytic
Feng, Yun, Wu, Chong-Feng, Zhou, Qi-Yuan
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PRICING AND ASSESSING UNIT-LINKED INSURANCE CONTRACTS WITH INVESTMENT GUARANTEES [PDF]
Annals of the University of Oradea: Economic Science, 2014 One of the most interesting life insurance products to have emerged in recent years in the Romanian insurance market has been the unit-linked contract. Unit-linked insurance products are life insurance policies with investment component.
Ciumas Cristina, Chis Diana-Maria, ,
doaj
Nonparametric Estimation of American Options Exercise Boundaries and Call Prices [PDF]
Unlike European-type derivative securities, there are no simple analytic valuation formulas for American options, even when the underlying asset price has constant volatility.
Eric Ghysels +3 more
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Analytic Approximations for Spread Options [PDF]
This paper expresses the price of a spread option as the sum of the prices of two compound options. One compound option is to exchange vanilla call options on the two underlying assets and the other is to exchange the corresponding put options.
Aanand Venkatramanan, Carol Alexander
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The Arbitrage Efficiency of the Nikkei 225 Options Market: A Put-Call Parity Analysis [PDF]
This paper is concerned with arbitrage efficiency of the Nikkei index option contracts traded on the Osaka Securities Exchange ( OSE) within the put-call parity (PCP) framework. A thorough ex post analysis is first carried out.
Steven Li
core
Maximum Entropy Distributions Inferred from Option Portfolios on an Asset
, 2011 We obtain the maximum entropy distribution for an asset from call and digital option prices. A rigorous mathematical proof of its existence and exponential form is given, which can also be applied to legitimise a formal derivation by Buchen and Kelly. We
Neri, C., Schneider, L.
core
Limited liabilities option valuation model
Acta Economica, 2012 Limited liabilities are ofen viewed as the valuable protection of personal property to the investors in equity instruments. Tere are several approaches for valuing limited liabilities.
Силвије Орсаг
doaj
Pricing and procurement strategies in the relief supply chain via bidirectional option contract. [PDF]
PLoS OneMaleki Rastaghi M +3 more
europepmc +1 more source
Validation of the Spanish Short Version of the Perception of Humanized Care Behaviors Scale in Hospitalized Adults in Chile. [PDF]
Invest Educ EnfermCuadros-Carlesi KM +5 more
europepmc +1 more source
Wet Nursing and Human Milk Sharing: Reviving Sustainable Systems to Prioritise Breastfeeding. [PDF]
Matern Child NutrCoutsoudis A +3 more
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