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Closed Form Valuation of American Barrier Options
SSRN Electronic Journal, 1999Closed form formulae for European barrier options are well known from the literature. This is not the case for American barrier options, for which no closed form formulae have been published. One has therefore had to resort to numerical methods. Lattice models like a binomial or a trinomial tree, for valuation of barrier options are known to converge ...
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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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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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Option valuation of real assets
Resources Policy, 1993Abstract Managerial flexibility adds value to a project, but this gain is seldom considered, because traditional evaluation methods cannot measure it. Operating flexibility, for example to save costs taking advantage of price developments, operates as an option. Contingent claims analysis, a technique based on financial option theory, takes advantage
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The Valuation of Options on Futures Contracts
The Journal of Finance, 1985ABSTRACTRational restrictions are derived for the values of American options on futures contracts. For these options, the optimal policy, in general, involves premature exercise. A model is developed for valuing options on futures contracts in a constant interest rate setting.
Ramaswamy, Krishna, Sundaresan, Suresh M
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Valuation of a Repriceable Executive Stock Option
Asia-Pacific Financial Markets, 2009zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Fujita, Takahiko, Ishii, Masahiro
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Analytical Valuation of American-Style Asian Options
SSRN Electronic Journal, 1998This article derives the first analytical pricing formulas for American-style Asian options of the so-called floating strike type. Geometric as well as arithmetic averaging is considered. The setup is a standard Black-Scholes framework where the price of the underlying security evolves according to a geometric Brownian motion.
Hansen, Asbjørn T. +1 more
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AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS
International Journal of Theoretical and Applied Finance, 2002We propose a new method for evaluating fixed strike Asian options using moments. In particular we show that the density of the logarithm of the arithmetic average is uniquely determined from its moments. Resorting to the maximum entropy density, we show that the first four moments are sufficient to recover with great accuracy the true density of the ...
Tagliani, Aldo, FUSAI G.
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Valuation of American commodity options
2023In this dissertation, we present analytical option pricing formulas for European and American options in which the price dynamics of a risky asset follows a meanreverting process with time-dependent parameter. The process can be adapted to describe both nonseasonal and seasonal variation in price, especially, in commodity markets such as agricultural ...
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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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