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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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Analytical valuation of vulnerable European and Asian options in intensity-based models
Journal of Computational and Applied Mathematics, 2021Xingchun Wang
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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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Financial Analysts Journal, 1977
4 In May 1973, Fischer Black and Myron Scholes published their seminal article on option valuation. Because of its complexity, the user of their formula normally relies on a computer or on a set of option value tables. Unfortunately, these methods provide little feeling for the sensitivity of the option value to changes in inputs.
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4 In May 1973, Fischer Black and Myron Scholes published their seminal article on option valuation. Because of its complexity, the user of their formula normally relies on a computer or on a set of option value tables. Unfortunately, these methods provide little feeling for the sensitivity of the option value to changes in inputs.
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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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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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SSRN Electronic Journal, 2005
This paper deals with the option-pricing problem. In the first part of the paper we study in more details the discrete setting of the option-pricing problem usually referred to as the binomial scheme. We highlight basic differences between the old and the new approaches.
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This paper deals with the option-pricing problem. In the first part of the paper we study in more details the discrete setting of the option-pricing problem usually referred to as the binomial scheme. We highlight basic differences between the old and the new approaches.
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The Valuation of Stock Options
The Journal of Financial and Quantitative Analysis, 1967There is little question that stock options have value, but there is considerable question as to how stock options should be valued. Persons studying the valuation question and writing in business periodicals have tied the value of the stock option to the expected or the actual appreciation in the value of the stock.
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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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