Measuring Option Price By Adapting the Contingent Valuation Method to a Mountainous Region
نویسندگان
چکیده
منابع مشابه
Valuation of installment option by penalty method
In this paper, installment options on the underlying asset which evolves according to Black-Scholes model and pays constant dividend to its owner will be considered. Applying arbitrage pricing theory, the non-homogeneous parabolic partial differential equation governing the value of installment option is derived. Then, penalty method is used to value the European continuous installment call opt...
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A valuation model is presented for options on stocks for which BlackScholes arbitrage does not entirely eliminate risk. The price dynamics of a portfolio of options and the underlying security is quanti ed by requiring that the excess reward-to-risk ratio of the portfolio be identical to that of the underlying stock: excess return risk portfolio = excess return risk stock : The nonlinear evolut...
متن کاملvaluation of installment option by penalty method
in this paper, installment options on the underlying assetwhich evolves according to black-scholes model and pays constant dividendto its owner will be considered. applying arbitrage pricing theory,the non-homogeneous parabolic partial differential equation governingthe value of installment option is derived. then, penalty method is usedto value the european continuous installment call option.
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ژورنال
عنوان ژورنال: Journal of Rural Problems
سال: 1995
ISSN: 0388-8525,2185-9973
DOI: 10.7310/arfe1965.31.60