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การทดสอบประสิทธิภาพภายในตลาด SET50 Index Options: ความแตกต่างระหว่าง Call Options กับ Put Options
2017This study is aimed to test the internal efficiency of SET50 Index Options market and focus on the difference between SET50 Index Call Options pricing relationship and SET50 Index Put Options pricing relationship using the conditions of Call & Put Spreads and Call & Put Butterfly Spreads.
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PARTIAL TAKEOVERS AS PUT OPTIONS
Accounting & Finance, 1990Abstract:For stocks of a listed company subject to a takeover offer, a premium must be paid by the bidder to induce acceptance of the offer. For partial takeovers, this premium can be modelled as a put option. While the takeover is current, temporary support for the stock may materialize, possibly resulting in increased prices.
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Delta Hedging European Put Options
2015Previously we built a simple model in Excel that simulated an underlying price series and a step-by-step trace of a dynamic Delta hedging simulation model for a call option. Now we will modify and extend the model for a European put option. The basic approach remains the same, but a simple modification is required to make the sheet work for a European ...
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Put Option Premiums and Coherent Risk Measures
Mathematical Finance, 2002This note defines the premium of a put option on the firm as a measure of insolvency risk. The put premium is not a coherent risk measure as defined by Artzner et al. (1999). It satisfies all the axioms for a coherent risk measure except one, the translation invariance axiom.
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CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS
Mathematical Finance, 2007Introduced by Kifer (2000), game options function in the same way as American options with the added feature that the writer may also choose to exercise, at which time they must pay out the intrinsic option value of that moment plus a penalty. In Kyprianou (2004) an explicit formula was obtained for the value function of the perpetual put option of ...
Christoph Kühn, Andreas E. Kyprianou
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Pricing American Put Options on Defaultable Bonds
Asia-Pacific Financial Markets, 2002zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Extensions to the Put Option Model
2020In this chapter, we extend the real options model of player contracts to include three-year contracts. A longer contract adds greater complexity to a salary negotiation, however the model suggests that the option values decline in later years due to higher uncertainty of the available choices for players and team owners.
Duane W Rockerbie, Stephen T. Easton
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Put Options as Purchases of Liquidity
Business Valuation Review, 2005In this article, I explore the logic behind using put options and similar techniques to estimate discounts for lack of marketability. While such efforts are instructive in understanding why some investors would require such discounts, I argue that these efforts cannot inform practitioners about either minimum or maximum discounts that are appropriate ...
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The Valuation of American Put Options
The Journal of Finance, 1977Brennan, Michael J, Schwartz, Eduardo S
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Dynamic Equilibrium with Overpriced Put Options
SSRN Electronic Journal, 2004It is a well‐known anomaly that prices of put options are too high when options are out‐of‐the‐money. This paper presents a simple general equilibrium model of the market where European put options become substantially overpriced when they are out‐of‐the‐money.
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