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Journal of Futures Markets, 2021
AbstractWe propose an equilibrium valuation model for bitcoin options by extending Cao. Bitcoin is interpreted as a foreign currency in a small open economy where money supply and aggregate dividend are exogenous. The equilibrium bitcoin prices increase with diffusive and jump risks of these two exogenous factors. Analytical option pricing formulas are
Melanie Cao
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AbstractWe propose an equilibrium valuation model for bitcoin options by extending Cao. Bitcoin is interpreted as a foreign currency in a small open economy where money supply and aggregate dividend are exogenous. The equilibrium bitcoin prices increase with diffusive and jump risks of these two exogenous factors. Analytical option pricing formulas are
Melanie Cao
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Real option valuation of abandoned farmland [PDF]
Review of Financial Economics, 2012 AbstractThis paper investigates the decision‐making process of an owner of abandoned farmland that is currently restricted to agricultural use but will be available for nonagricultural use in the future. I make a real option valuation of the abandoned farmland taking prospective land conversion into consideration.
Michi Nishihara
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Valuation of options by using Excel
2015 38th International Convention on Information and Communication Technology, Electronics and Microelectronics (MIPRO), 2015Options represent the right to buy or to sell a specific number of underlying assets (stocks, indexes, commodities etc.) at a given price in a predetermined period of time. To analyze the value of options the Black and Scholes model will be presented and special spreadsheets will be developed using only “plain vanilla” Excel, i.e.
Olgić Draženović, Bojana +2 more
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Monte Carlo Valuation of American Options [PDF]
, 2004 An American option is a contract giving its holder the right to buy (call option) or sell (put option) one unit of an underlying security of value S for a prearranged amount. This right can be exercised at any time prior to the expiration date T. In contrast, a European option can be exercised only at the expiry. Define the amount paid to the holder of
David Lamper, Sam Howison
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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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