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AUCTIONS, REAL OPTIONS VALUATION, AND PRIVATIZATION [PDF]
International Game Theory Review, 2011 This article studies competitive bidding by strategic investors to buy enterprises that are being privatized through sealed-bid auctions. The bidders use a real options approach to enterprise valuation that accounts for asset quality given their private information.
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Valuation of exotic options using moments
Operational Research, 2002In this paper we discuss the problem of recovering a density from its moments. For theoretical reasons, we propose the use of fractional moments combined with the Maximum Entropy density. We then discuss the application to the pricing of exotic options.
D'AMICO M., FUSAI, Gianluca, TAGLIANI A.
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The Analytic Valuation of American Options
Review of Financial Studies, 1990No analytic solutions exists for the valuation of American options written on futures contracts and foreign currencies for which early exercise may be optimal. This article formulates the American option valuation problem in economically and mathematically meaningful ways. This enables us to derive valuation formulas for American options.
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The Valuation of Currency Options
Financial Management, 1983extended with its underlying assumptions being relaxed. The model has also found many applications in finance. Smith [6] provides a good overall review of the subject. Options on a foreign currency can be defined in the same way as options on a stock. For example, a European call option on a foreign currency is an option to buy one unit of the currency
Nahum Biger, John Hull
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2021
A quanto option is an option whose payout is made in a currency other than that of the underlying security, based on a fixed exchange rate. The term "quanto" is abbreviation for "quantity adjusted" that refers to the feature where the payoff of an option is determined by the financial price of index in one currency but the actual payout if realized in ...
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A quanto option is an option whose payout is made in a currency other than that of the underlying security, based on a fixed exchange rate. The term "quanto" is abbreviation for "quantity adjusted" that refers to the feature where the payoff of an option is determined by the financial price of index in one currency but the actual payout if realized in ...
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, 2005 This paper deals with the option-pricing problem. In the first part of the paper we study in details the discrete setting of the option-pricing problem usually referred to as the binomial scheme. We highlight basic differences between the old and the new approaches.
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On the Valuation of Asian Options by Variational Methods
SIAM Journal on Scientific Computing, 2003The author considers the valuation of Asian options by variational methods. The value function satisfies an ultraparabolic variational inequality. An implicit finite element approximation is developed. For two specific examples numerical experiments are provided.
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The valuation of options on yields
Journal of Financial Economics, 1990Abstract Many contingent claims incorporate options on yield levels. I derive closed-form expressions for European yield-option prices using a general equilibrium model in which the underlying yield is the relevant state variable. The properties of these options differ markedly from those of conventional options on traded assets.
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