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Financial Analysts Journal, 1982
(1982). The Valuation of GNMA Options. Financial Analysts Journal: Vol. 38, No. 5, pp. 66-76.
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(1982). The Valuation of GNMA Options. Financial Analysts Journal: Vol. 38, No. 5, pp. 66-76.
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The valuation of compound options
Journal of Financial Economics, 1979This paper presents a theory for pricing options on options, or compound options. The method can be generalized to value many corporate liabilities. The compound call option formula derived herein considers a call option on stock which is itself an option on the assets of the firm.
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2004
This chapter deals with the pricing of certain types of exotic options, called “power options” and “powered options”. The special feature of these contracts is that, compared with plain vanilla options, in the first case the stock price in the payoff function is replaced by the stock price raised to some power, and in the latter case the option payoff ...
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This chapter deals with the pricing of certain types of exotic options, called “power options” and “powered options”. The special feature of these contracts is that, compared with plain vanilla options, in the first case the stock price in the payoff function is replaced by the stock price raised to some power, and in the latter case the option payoff ...
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The Valuation of American Put Options
The Journal of Finance, 1977Brennan, Michael J, Schwartz, Eduardo S
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Multi-stage compound real options valuation in residential PV-Battery investment
Energy, 2020Archie Chapman, Gregor Verbic
exaly
The Valuation of American Options for a Class of Diffusion Processes
Management Science, 2002Weidong Tian, Jérôme Detemple
exaly