Results 341 to 350 of about 249,987 (395)
Some of the next articles are maybe not open access.
Financial Analysts Journal, 1982
(1982). The Valuation of GNMA Options. Financial Analysts Journal: Vol. 38, No. 5, pp. 66-76.
openaire +2 more sources
(1982). The Valuation of GNMA Options. Financial Analysts Journal: Vol. 38, No. 5, pp. 66-76.
openaire +2 more sources
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
openaire +3 more sources
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
openaire +3 more sources
Canonical valuation of options in the presence of stochastic volatility
, 2005Proposed by M. Stutzer (1996), canonical valuation is a new method for valuing derivative securities under the risk‐neutral framework. It is nonparametric, simple to apply, and, unlike many alternative approaches, does not require any option data ...
P. Gray, Scott Newman
semanticscholar +1 more source
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
openaire +1 more source
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
openaire +1 more source
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
openaire +1 more source
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
openaire +1 more source
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.
openaire +2 more sources
On the option valuation and decomposition of exchange option
Journal of Applied Mathematics and Computing, 2002In this paper, we shall find the unique rational price associated with the exchange option. Also, we find the decomposition of Snell envelope and value function of the American exchange option.
Seung Chul Ahn, Won Choi
openaire +2 more sources
Closed form valuation of barrier options with stochastic barriers
Annals of Operations Research, 2021Tristan Guillaume
semanticscholar +1 more source
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.
openaire +3 more sources