Could Zhou Xiaochuan PUT OPTION Save Chinas Capital Market?
نویسندگان
چکیده
منابع مشابه
Unbounded Liabilities, Reserve Capital Requirements and the Taxpayer Put Option
When rms access unbounded liability exposures and are granted limited liability, then an all equity rm holds a call option, whereby it receives a free option to put losses back to the taxpayers. We call this option the taxpayer put, where the strike is the negative of the level of reserve capital at stake in the rm. We contribute by (i) valuing this taxpayer put, and (ii) determining the lev...
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In this paper, impacts of day-ahead market pricing on behavior of producers and consumers in option and day-ahead markets and on option pricing are studied. To this end, two comprehensive equilibrium models for joint put option and day-ahead markets under pay-as-bid and uniform pricing in day-ahead market are presented, respectively. Interaction between put option and day-ahead markets, uncerta...
متن کاملThe British Put Option
We present a new put option where the holder enjoys the early exercise feature of American options whereupon his payoff (deliverable immediately) is the ‘best prediction’ of the European payoff under the hypothesis that the true drift of the stock price equals a contract drift. Inherent in this is a protection feature which is key to the British put option. Should the option holder believe the ...
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The Sato process model for option prices is expanded to accomodate credit considerations by incorporating a single jump to default occuring at an independent random time with a Weibull distribution. Explicit formulas, in this context, for the bid and ask prices of two price economies that price residual risks to levels of risk acceptability are then derived. Liquidity considerations are thereby...
متن کاملPut Option Premiums and Coherent Risk Measures
This note defines the premium of a put option on the firm as a measure of insolvency risk. The put premium is not a coherent risk measure as defined by Artzner et al. (1999). It satisfies all the axioms for a coherent risk measure except one, the translation invariance axiom. However, it satisfies a weakened version of the translation invariance axiom that we label translation monotonicity. The...
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ژورنال
عنوان ژورنال: Asian Economic and Financial Review
سال: 2016
ISSN: 2305-2147,2222-6737
DOI: 10.18488/journal.aefr/2016.6.6/102.6.310.318