Results 251 to 260 of about 250,820 (303)
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Noncommutative Valuation of Options
Reports on Mathematical Physics, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Forward indifference valuation of American options
Stochastics, 2011We analyse the valuation of American options under the forward performance criterion introduced by Musiela and Zariphopoulou [Quant. Finance 9 (2008), pp. 161–170]. In this framework, the performance criterion evolves forward in time without reference to a specific future time horizon, and may depend on the stochastic market conditions.
Tim Siu-Tang Leung +2 more
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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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Valuation of Executive Stock Options
Managerial Finance, 1995The executive stock option (ESO) valuation model developed in this research amends the popular exchange traded option pricing models such as Black and Scholes (1973), Whaley (1981), and Cox, Ross, and Rubinstein (1979) to include economic features of the ESO contract that previously have been ignored. One of these features is the non‐transferability of
Roger P. Bey, Larry J. Johnson
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Seasonality and the valuation of commodity options [PDF]
Journal of Banking & Finance, 2011 Price movements in many commodity markets exhibit significant seasonal patterns. In this paper, we study the effects of seasonal volatility on models' option pricing performance. In terms of options pricing, a deterministic seasonal component at the price level can be neglected.
Janis Back +2 more
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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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SSRN Electronic Journal, 2016
This article illustrates concurrent values emanating from mergers in the REIT industry. Prior studies on REIT mergers focused only single merger outcome(s); thereby, ignoring other existing concurrent values. Concurrent values are disentangled using game theory. Results illustrate embedded dynamism of option values linked to game strategies.
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This article illustrates concurrent values emanating from mergers in the REIT industry. Prior studies on REIT mergers focused only single merger outcome(s); thereby, ignoring other existing concurrent values. Concurrent values are disentangled using game theory. Results illustrate embedded dynamism of option values linked to game strategies.
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Applications of real options valuation
2023This dissertation presents three essays, each discussing an application of real options (contingent claim analysis) techniques. These applications involve equipment replacement, computable general equilibrium analysis and valuation of hedge-fund management compensation. This first essay develops and discusses a real options or contingent claim model to
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Approximate valuation of average options
Annals of Operations Research, 1993zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Iwaki, Hideki +2 more
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Valuation of Performance‐Dependent Options
Applied Mathematical Finance, 2008Performance‐dependent options are financial derivatives whose payoff depends on the performance of one asset in comparison to a set of benchmark assets. This paper presents a novel approach to the valuation of general performance‐dependent options. To this end, a multidimensional Black–Scholes model is used to describe the temporal development of the ...
Thomas Gerstner, Markus Holtz
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