The valuation of compound options
Опубликовано на портале: 06-10-2004
Journal of Financial Economics.
1979.
Vol. 7.
No. 1.
P. 63-81.
Тематический раздел:
This 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. This perspective incorporates leverage effects
into option pricing and consequently the variance of the rate of return on the stock
is not constant as Black-Scholes assumed, but is instead a function of the level
of the stock price. The Black-Scholes formula is shown to be a special case of the
compound option formula. This new model for puts and calls corrects some important
biases of the Black-Scholes model.
Статья рекомендуется в учебной программе Advanced Topics in Finance: Seminar in Financial Derivatives (Chance D.M.)
Ссылки
текст статьи:http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6VBX-45N500K-30&_user=10&_handle=W-WA-A-A-Y-MsSAYWA-UUW-AUCUYWCUAU-CACZADEBC-Y-U&_fmt=summary&_coverDate=03%2F31%2F1979&_rdoc=4&_orig=browse&_srch=%23toc%235938%231979%23999929998%23307831!&_cdi=5938&view=c&_acct=C000050221&_version=1&_urlVersion=0&_userid=10&md5=3d5b5d641b936895f8b0622732006d8d
Ключевые слова
corporate liability derivative option pricing models корпоративная ответственность экономическая модель
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№ 1.
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A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for
Heteroskedasticity
Econometrica.
1980.
Vol. 48.
No. 4.
P. 817-838.
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[Книга]
University of California, Economics Working Papers.
2000.
E99-270.
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