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FAQ’sinOptionPricingTheory
"... We consider several Frequently Asked Questions (FAQ’s) in option pricing theory. This paper has benefitted from the comments received during presentations made at CIFER99, Risk 99, Brooklyn Polytechnic, and Carnegie Mellon. The participants of these presentations are not responsible for any errors. ..."
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We consider several Frequently Asked Questions (FAQ’s) in option pricing theory. This paper has benefitted from the comments received during presentations made at CIFER99, Risk 99, Brooklyn Polytechnic, and Carnegie Mellon. The participants of these presentations are not responsible for any errors
Valuation with Option Pricing Theory
, 2003
"... Shares and bonds are derivatives on the firm’s assets. Limited liability gives shareholders the option to abandon the firm, to put it to the bondholders. Bondholders have a short position in this put option. ..."
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Shares and bonds are derivatives on the firm’s assets. Limited liability gives shareholders the option to abandon the firm, to put it to the bondholders. Bondholders have a short position in this put option.
Liquidity Risk and Option Pricing Theory
 in Handbook in Operation Research and Management Science: Financial Engineering
, 2007
"... This paper summarizes the recent advances of Çetin[6],Çetin,Jarrow and Protter [7], Çetin, Jarrow, Protter and Warachka [8], Blais [4], and Blais and Protter [5] on the inclusion of liquidity risk into option pricing theory. This research provides new insights into the relevance of the classical tec ..."
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Cited by 9 (3 self)
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This paper summarizes the recent advances of Çetin[6],Çetin,Jarrow and Protter [7], Çetin, Jarrow, Protter and Warachka [8], Blais [4], and Blais and Protter [5] on the inclusion of liquidity risk into option pricing theory. This research provides new insights into the relevance of the classical
An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees: An Application of Modern Option Pricing Theory
 Journal of Banking and Finance
, 1977
"... It is not uncommon in the arrangement of a loan to include as part of the financial package a guarantee of the loan by a third party. Examples are guarantees by a parent company of loans made to its subsidiaries or government guarantees of loans made to private corporations. Also included would be g ..."
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Cited by 425 (6 self)
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between loan guarantees and common stock put options, and then to use the well developed theory of option pricing to derive the formula. 1.
Nonexpansive maps and option pricing theory
 Kybernetika
, 1998
"... The famous BlackSholes (BS) and CoxRossRubinstein (CRR) formulas are basic results in the modern theory of option pricing in financial mathematics. They are usually deduced by means of stochastic analysis; various generalisations of these formulas were proposed using more sophisticated stochastic ..."
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Cited by 3 (1 self)
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The famous BlackSholes (BS) and CoxRossRubinstein (CRR) formulas are basic results in the modern theory of option pricing in financial mathematics. They are usually deduced by means of stochastic analysis; various generalisations of these formulas were proposed using more sophisticated
Valuating Privacy with Option Pricing Theory
, 2009
"... One of the key challenges of the information society is responsible handling of personal data. An oftencited reason why people fail to make rational decisions regarding their own informational privacy is the high uncertainty about future consequences of information disclosures today. This paper bu ..."
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Cited by 2 (2 self)
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builds an analogy to financial options and draws on principles of option pricing to account for this uncertainty in the valuation of privacy. For this purpose, the development of a data subject’s personal attributes over time and the development of the attribute distribution in the population
Loan Guarantees: An Option Pricing Theory Perspective
"... In this paper we analyze security loan guarantees in the light of the option pricing theory. We interpret them as put options on the cash flows of a secured debt. We highlight that the value of the guarantee is always positive before a loan’s maturity and it depends on the same factors that determin ..."
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In this paper we analyze security loan guarantees in the light of the option pricing theory. We interpret them as put options on the cash flows of a secured debt. We highlight that the value of the guarantee is always positive before a loan’s maturity and it depends on the same factors
FAQ's in Option Pricing Theory
, 1999
"... We consider several Frequently Asked Questions (FAQ's) in option pricing theory. I thank Ajay Khanna and Carol Marquardt for their comments. I Introduction The recent award of the Nobel prize in economics to Professors Merton and Scholes has attracted many newcomers to the field of derivative ..."
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Cited by 1 (0 self)
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We consider several Frequently Asked Questions (FAQ's) in option pricing theory. I thank Ajay Khanna and Carol Marquardt for their comments. I Introduction The recent award of the Nobel prize in economics to Professors Merton and Scholes has attracted many newcomers to the field of derivative
Towards NonEquilibrium Option Pricing Theory
 Internal J. Theoret. & Appl. Fin
, 2000
"... A recently proposed model (by Ilinski et al.) for the dynamics of intermediate deviations from equilibrium of financial markets ( “virtual ” arbitrage returns) is incorporated within an equilibrium (arbitragefree) pricing method for derivatives on securities (e.g. stocks) using an equivalence to op ..."
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Cited by 3 (0 self)
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to option pricing theory with stochastic interest rates. Making the arbitrage return a component of a fictitious shortterm interest rate (while the real riskfree rate is assumed to be constant) and thus treating it as another source of uncertainty (besides the security price) in a virtual world
Minimal Relative Entropy Martingale Measures and their Applications to Option Pricing Theory
"... In this paper we review the relative entropy meathods for the option pricing theory in the incomplete markets. First we summarize the known results with respect to the existence of minimal relative entropy martingale measure (MEMM), and then we give several examples of the pricing models related ..."
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Cited by 3 (1 self)
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In this paper we review the relative entropy meathods for the option pricing theory in the incomplete markets. First we summarize the known results with respect to the existence of minimal relative entropy martingale measure (MEMM), and then we give several examples of the pricing models
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