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2021
A binary option is an option with a predetermined payoff, triggered only if the underlying price meets the strike price. These are also commonly referred to as "all or nothing" or "digital options". Binary call pays a fixed amount if the underlying price ends up above the strike price, while binary put pays off a fixed amount if the underlying price is
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A binary option is an option with a predetermined payoff, triggered only if the underlying price meets the strike price. These are also commonly referred to as "all or nothing" or "digital options". Binary call pays a fixed amount if the underlying price ends up above the strike price, while binary put pays off a fixed amount if the underlying price is
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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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2007 Winter Simulation Conference, 2007
Managerial flexibility has value. The ability of their managers to make smart decisions in the face of volatile market and technological conditions is essential for firms in any competitive industry. This advanced tutorial describes the use of Monte Carlo simulation and stochastic optimization for the valuation of real options that arise from the ...
John M. Charnes, Barry R. Cobb
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Managerial flexibility has value. The ability of their managers to make smart decisions in the face of volatile market and technological conditions is essential for firms in any competitive industry. This advanced tutorial describes the use of Monte Carlo simulation and stochastic optimization for the valuation of real options that arise from the ...
John M. Charnes, Barry R. Cobb
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Noncommutative Valuation of Options
Reports on Mathematical Physics, 2016The aim of this note is to show that the classical results in finance theory for pricing of derivatives, given by making use of the replication principle , can be extended to the noncommutative world. We believe that this could be of interest in quantum probability. The main result called the First fundamental theorem of asset pricing , states that a
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2021
A spread option is an option written on the difference of two underling assets, whose values at time t we denote by S1(t) and S2(t). We consider only options of the European type for which the buyer has the right to be paid, at the maturity date T, the difference S2(T)−S1(T), known as the spread. To exercise the option, the buyer must pay at maturity a
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A spread option is an option written on the difference of two underling assets, whose values at time t we denote by S1(t) and S2(t). We consider only options of the European type for which the buyer has the right to be paid, at the maturity date T, the difference S2(T)−S1(T), known as the spread. To exercise the option, the buyer must pay at maturity a
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Binomial valuation of lookback options [PDF]
Journal of Economic Dynamics and Control, 2000 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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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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Approximate valuation of average options
Annals of Operations Research, 1993zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Masaaki Kijima +2 more
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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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The Valuation of Options on Capacity
2003This chapter represents the core of the present analysis. Its purpose is laying the foundations of a market model consisting of a sequence of the following market sessions: a contract market, where capacity can be reserved, and a spot market, where capacity can be purchased on a short-term basis.
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