Results 211 to 220 of about 133,645 (263)
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On the option valuation and decomposition of exchange option
Korean Journal of Computational and Applied Mathematics, 2002The authors consider the model for financial market, in which \(n+1\) assets are traded. The price \(S_{t}^0\) of the first of these assets evolves according to the equation \(dS_{t}^0=rS_{t}^0dt,\;S_{0}^0=1,\) where \(r\) is the riskless interest rate.
Choi, Won, Ahn, Seung Chul
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Exchange options with stochastic liquidity risk
Expert Systems with Applications, 2023In this article, we account for the liquidity risk in the underlying assets when pricing European exchange options, which has not been considered in the literature. An Ornstein-Uhlenbeck process with the mean -reversion property is selected to model the market liquidity risk, whose impacts on the underlying assets are assumed to be imposed with a ...
Puneet Pasricha, Xin-Jiang He
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Finance Research Letters, 2005
Abstract In this paper we present pricing results for an option to exchange the value of one asset raised to a power ( S 1 α 1 ) for the value of another asset raised to a power ( S 2 α 2 ). We refer to such options as power exchange options since they simultaneously generalize results for both the Fischer–Margrabe-type option ...
Lloyd P. Blenman, Steven P. Clark
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Abstract In this paper we present pricing results for an option to exchange the value of one asset raised to a power ( S 1 α 1 ) for the value of another asset raised to a power ( S 2 α 2 ). We refer to such options as power exchange options since they simultaneously generalize results for both the Fischer–Margrabe-type option ...
Lloyd P. Blenman, Steven P. Clark
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Quantitative Finance, 2011
The option to exchange one asset for another is one of the oldest and one of the most popular exotic options. In the present article, we extend the existing literature on options to Parisian exchange options, i.e. the option to exchange one asset for the other contingent on the occurrence of the Parisian time.
An Chen, Michael Suchanecki
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The option to exchange one asset for another is one of the oldest and one of the most popular exotic options. In the present article, we extend the existing literature on options to Parisian exchange options, i.e. the option to exchange one asset for the other contingent on the occurrence of the Parisian time.
An Chen, Michael Suchanecki
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Options on Foreign Exchange and Exchange Rate Expectations
Staff Papers - International Monetary Fund, 1987This paper tests alternative assumptions concerning the time-series behavior of foreign exchange rates. Data for about 20,000 individual trades on foreign exchange options for dollar exchange rates against six major currencies carried out from February 1983 to June 1985 are analyzed. The tests carried out suggest that, judging from the predictions of a
Eduardo R. Borensztein +1 more
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LOEX Option: A Combination of Exchange Option and Lookback Option
Management Analytics and Social InsightsIn this article, we consider modeling and pricing a combination of two options (Exchange option and Lookback option) that we call the LOEX option. It is a type of exotic option, or clearer, path-dependent option because its price depends on the maximum and minimum prices of the assets to be considered.
Ghasem Pour, Rajabali +2 more
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Options and earnings announcements: an empirical study for the European Options Exchange
Statistica Neerlandica, 1996In this paper we give an introduction in option pricing theory and explicitly specify the Black‐Scholes model. Although market participants use this and similar models to price options, they violate one of the fundamental assumptions of the model. They do not set a constant value for the volatility of the underlying asset over time, but change the ...
Donders, M.W.M., Vorst, A. C F
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Exchange options and spread options with stochastically correlated underlyings
Applied Economics Letters, 2021This paper investigates the valuation of exchange options and spread options with stochastically correlated underlying assets.
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SSRN Electronic Journal, 2015
This paper theoretically illustrates that exchange and conditional options are intertwined in M&A transactions. That is, this study illustrates that an exercised exchange option is simultaneously linked to a conditional option in M&A. A conditional-exchange option is derived from a Radon-Nikodym derivative.
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This paper theoretically illustrates that exchange and conditional options are intertwined in M&A transactions. That is, this study illustrates that an exercised exchange option is simultaneously linked to a conditional option in M&A. A conditional-exchange option is derived from a Radon-Nikodym derivative.
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Journal of the Staple Inn Actuarial Society, 1960
The best known and most common type of option is that where an investor pays money (option money) for the call—that is for the right to buy shares at the current price in 3 months time.This is best explained by an example. Suppose shareAstands at 50s. (market price 49s. 10½d.–50s.
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The best known and most common type of option is that where an investor pays money (option money) for the call—that is for the right to buy shares at the current price in 3 months time.This is best explained by an example. Suppose shareAstands at 50s. (market price 49s. 10½d.–50s.
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