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2 edition of Call option pricing when the exercise price is uncertain, and the valuation of index bonds found in the catalog.

Call option pricing when the exercise price is uncertain, and the valuation of index bonds

by Stanley Fischer

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  • 1 Currently reading

Published by M.I.T. Dept. of Economics in Cambridge, Mass .
Written in English


Edition Notes

StatementStanley Fischer
SeriesMassachusetts Institute of Technology. Dept. of Economics. Working paper -- no. 206, Working paper (Massachusetts Institute of Technology. Dept. of Economics) -- no. 206.
The Physical Object
Pagination14 leaves ;
Number of Pages14
ID Numbers
Open LibraryOL24627446M
OCLC/WorldCa3491291

Financial economics is the branch of economics characterized by a "concentration on monetary activities", in which "money of one type or another is likely to appear on both sides of a trade". Its concern is thus the interrelation of financial variables, such as prices, interest rates and shares, as opposed to those concerning the real has two main areas of focus: asset pricing and. Black-Scholes option-pricing model. A model for pricing call options based on arbitrage arguments that uses the stock price, the exercise price, the risk-free interest rate, the time to expiration, and the standard deviation of the stock return. Bond value. With respect to convertible bonds, the value the security would have if it were not.

Pricing/Valuation Models Type Structural Model Reduced-form Model Origin Based on Merton () and Black Scholes (). Based on Duffie and Singleton () model. Prob. of Default Shareholder’s value is a call option on the firm’s value with an exercise price equal to . Business valuation is a process and set of procedures used to estimate the economic value of the shares of the owners in the business. Assessment is used by fin.

in the two values. In the above example, then, the value of the call with an exercise price of K 1 and a cap at K 2 can be written as: Value of Capped Call = Value of call (K=K 1) - Value of call (K=K 2) Barrier options can take many forms. In a knockout option, an option ceases to exist if the option reaches a certain price. Assuming the same expiration date, an option with a ____ exercise price has a ____ call option premium and a ____ put option premium. 1 answer Your firm is considering two one-year loan options for a .


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Call option pricing when the exercise price is uncertain, and the valuation of index bonds by Stanley Fischer Download PDF EPUB FB2

Call Option Pricing When the Exercise Price Is Uncertain, and the Valuation of Index Bonds. Welfare Aspects of Government Issue of Indexed Bonds. Policy Issues: Long-Term Contracts, Rational Expectations, and the Optional Money Supply Rule.

Stanley Fischer has written: 'Call option pricing when the exercise price is uncertain, and the valuation of index bonds' -- subject(s): Accessible book 'Wage-indexation and macro-economic. CALL OPTION PRICING WHEN THE EXERCISE PRICE IS UNCERTAIN, AND THE VALUATION OF INDEX BONDS. Stanley Fischer; PDF PDF References; Request permissions; THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER.

William Margrabe; Pages: ; First Published: March Book Reviews. BOOK REVIEWS. Pages: ; First Published: March. Fischer, S. “Call option pricing when the exercise price is uncertain and the valuation of index bonds.” Journal of Finance, 33 (March), – CrossRef Google Scholar.

Stanley Fischer, CALL OPTION PRICING WHEN THE EXERCISE PRICE IS UNCERTAIN, AND THE VALUATION OF INDEX BONDS, The Journal of Finance, 33, 1, (), (). Wiley Online Library Michael Rothschild and Nils H. Hakansson, WELFARE ASPECTS OF OPTIONS AND SUPERSHARES, The Journal of Finance, 33, 3, (), ().Cited by: "Call Option Pricing when the Exercise Price Is Uncertain, and the Valuation of Index Bonds," Journal of Finance, American Finance Association, vol.

33(1), pagesMarch. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, "Call Option Pricing when the Exercise Price Is Uncertain, and the Valuation of Index Bonds," Journal of Finance, American Finance Association, vol. 33(1), pagesMarch. Huddart, Steven, [6] Stanley Fischer.

Call Option Pricing When the Exercise Price is Uncertain, and the Valuation of Index Bonds. Journal of Finance, –, [7] Esben Gaarder Haug and Jørgen Haug.

Knock-in/out Margrabe. Wilmott Maga-zine, 1(December)–41, [8] Farshid Jamshidian. An exact bond option formula. Journal of Finance, File Size: KB. The Theory of Rational Option Pricing Article (PDF Available) in The Bell Journal of Economics and Management Science 4(1) March with 4, Reads How we measure 'reads'Author: Robert C.

Merton. equivalent to owning a default-free 8% annuity bond and writing a call option on that bond (with an exercise price of par). This option component induces a concave relation between the price of MBS and the price of default-free bonds (the so called \negative convexity").

MBS Pricing: An MDE Approach. “Call Option Pricing When the Exercise Price is Uncertain, and the Valuation of Index Bonds.” Journal of Fina no.l (March): – CrossRef Google ScholarCited by: An exchange option, also called “Margrabe option”, gives the right, but not the obligation to exchange an asset for another asset.

In a recent paper in the Encyclopedia of Quantitative Finance Author: Rolf Poulsen. An option valuation model predicated on the assumption that stock prices can move to only two values over any short time period Black-Scholes pricing formula A formula to value an option that uses the stock price, the risk-free interest rate, the time to expiration, and the standard deviation of the stock return.

Call Option: Issuer's option to redeem bonds prior to their stated maturity, at a pre-determined price above par value Call Premium: The excess amount of the call price above the par value.

Call option can be exercised on or after predetermined date - usually yrs from date of issuance. #1 Option Trading Mistake: Buying Out-of-the-Money (OTM) Call Options. Buying OTM calls outright is one of the hardest ways to make money consistently in option trading.

OTM call options are appealing to new options traders because they are cheap. It seems like a good place to start: Buy a cheap call option and see if you can pick a winner.

Real Option: A real option is a choice made available with business investment opportunities, referred to as “real” because it typically references a tangible asset instead of financial Author: Will Kenton. Option trading is like an Ocean. There are many concepts and its not an easy task to learn everything from a book.

Instead of reading a book, I would suggest you to go through Zerodha Varsity. Zerodha Varsity - Part 1 Zerodha Varsity - part 2 Ther. Exercise Price In the context of option trading, the exercise price is the price per share at which the underlying stock may be purchased (call option) or sold (put option) over a specified period.

Also know as the Strike Price. Expectations Index A sub-index of The. Business valuation is a process and a set of procedures used to estimate the economic value of an owner's interest in a business. Valuation is used by financial market participants to determine the price they are willing to pay or receive to effect a sale of a business.

In addition to estimating the selling price of a business, the same valuation tools are often used by business appraisers to. Now assume that Apple decides to enter the swap on May 1, The first payments will be exchanged on August 1, Based on the swap pricing results Apple will receive a $ million fixed.

A two-period (0 and T) Arrow-Debreu economy is set up with a general model of suppose that an equilibrium exists for this economy. The Arrow-Debreu economy is placed in a Radner (dynamic) setting; agents may trade claims at any time during [0, T].Under appropriate conditions it is possible to implement the original Arrow-Debreu equilibrium, which may .The advent of data science has opened doors to making discoveries from data in new and innovative ways.

By combining statistics, computer science, applied mathematics and data visualizations, a data scientist or analyst can turn vast amounts of complex data into meaningful insights and new knowledge.Black-Scholes Calculator. To calculate a basic Black-Scholes value for your stock options, fill in the fields below.

The data and results will not be saved and do not feed the tools on this er that the actual monetary value of vested stock options is the difference between the market price and your exercise price.