Option Price When the Stock is a Semimartingale
نویسندگان
چکیده
منابع مشابه
Stock price dynamics and option valuations under volatility feedback effect
According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price–dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations under the volatility feedback effect bymodeling the joint dynamics of stock price, dividends, and volatility in continuous time. Most importantly, our model pre...
متن کاملVolatility estimation by combining stock price data and option data
Volatility modeling and analysis are traditionally based on either historical price data or option data. Finance theory shows that option prices heavily depend on the underlying stocks’ prices, thus the two kinds of data are related. This paper explores the approach that combines both stock price data and option data to perform the statistical analysis of volatility. We investigate the Black-Sc...
متن کاملComparison of Option Prices in Semimartingale Models
In this paper we generalize recent comparison results of El Karoui, Jeanblanc-Picqué, and Shreve (1998), Bellamy and Jeanblanc (2000) and Gushchin and Mordecki (2002) to d-dimensional exponential semimartingales S, S∗. Our main result gives sufficient conditions for the comparison of European options w.r.t. martingale pricing measures. The comparison is with respect to convex and also with resp...
متن کاملOn the duality principle in option pricing: semimartingale setting
The purpose of this paper is to describe the appropriate mathematical framework for the study of the duality principle in option pricing. We consider models where prices evolve as general exponential semimartingales and provide a complete characterization of the dual process under the dual measure. Particular cases of these models are the ones driven by Brownian motions and by Lévy processes, w...
متن کاملWhen Do High-level Managers Believe They Can Influence the Stock Price? Antecedents of Stock Price Expectancy Cognitions
Stock based rewards are often used to motivate high-level managers to take actions to increase the stock price of the fi rm. However, numerous constraints may weaken the perceived link between individual effort and stock price appreciation for many recipients. This study introduces a new construct, stock price expectancy, which we defi ne as individuals’ perceptions of infl uence over their fi ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Electronic Communications in Probability
سال: 2002
ISSN: 1083-589X
DOI: 10.1214/ecp.v7-1049