Results 211 to 220 of about 158,857 (263)

An Implicit Scheme for American Put Options

Journal of Scientific Computing, 2023
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Xinfu Chen, Zhengyang Lu, Jingtang Ma, Jinye Shen   +3 more
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A Put Option Paradox

The Journal of Financial and Quantitative Analysis, 1988
What happens to the price of a put in a period during which the stock price stays constant? The hedging strategy implicit in the Black-Scholes model would seem to imply that the put goes up in value. Pure arbitrage arguments imply the opposite result.
Mark Grinblatt, Herb Johnson
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ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS

Mathematical Finance, 1992
We derive alternative representations of the McKean equation for the value of the American put option. Our main result decomposes the value of an American put option into the corresponding European put price and the early exercise premium. We then represent the European put price in a new manner. This representation allows us to alternatively decompose
Carr, Peter, Jarrow, Robert, Myneni, Ravi   +2 more
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Option Pricing: The American Put

The Journal of Business, 1977
The problem of correctly, or perhaps rationally, setting the price of an option on a stock has been attacked many times.' Recently, Black and Scholes developed a very neat argument which provided a solution for the so-called European put and call options, and thus indirectly for the American call option.2 For it can be shown that it is better to retain
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Put Options in General Equilibrium

SSRN Electronic Journal, 2008
Put option prices are counter-cyclical. We build a general equilibrium model based on Duffie-Epstein preferences, a linear production function and time-varying growth rates that delivers both time-series and cross-sectional properties of relative put option prices.
Hedibert F. Lopes, Satadru Hore, Robert E. McCulloch   +2 more
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THE BRITISH KNOCK-OUT PUT OPTION

International Journal of Theoretical and Applied Finance, 2015
Following the economic rationale introduced by Peskir & Samee (2011, 2013) we present a new class of barrier options within the British payoff mechanism where the holder enjoys the early exercise feature of American type options whereupon his payoff (deliverable immediately) is the best prediction of the European payoff under the hypothesis that ...
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Discounted perpetual game put options

Chaos, Solitons & Fractals, 2020
Abstract The aim of this study is to explore the behavior of perpetual game put options, also known as cancellable puts. Their main characteristic is the opportunity of the buyer and the seller to exercise prematurely. If the seller decides to terminate the option, he obliges to pay a penalty amount above the normal option fee.
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Computational Methods for Pricing American Put Options

Journal of Optimization Theory and Applications, 2005
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Liu, Y. J., Yin, G., Zhang, Q.
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Die Put-Option

1992
Wahrend die bereits im vorangehenden Kapitel behandelte Call-Option das Recht auf den Kauf einer Aktie umfast, verbrieft eine Put-Option das Recht, eine Aktie zu einem fixen Kurs verkaufen zu durfen. Dies ist immer dann interessant, wenn ein Investor sinkende Aktienkurse erwartet.
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Why are Put Options So Expensive?

SSRN Electronic Journal, 2003
This paper studies the "overpriced puts puzzle" — the finding that historical prices of the S&P 500 put options have been too high and incompatible with the canonical asset-pricing models. To investigate whether put returns could be rationalized by another, possibly non-standard equilibrium model, we implement the model-free methodology of ...
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