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  • Articles  (23,990)
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  • 2020-2022
  • 2000-2004  (10,110)
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  • 2004  (10,110)
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  • Articles  (23,990)
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  • 2020-2022
  • 2000-2004  (10,110)
  • 1990-1994  (13,880)
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  • 1
    Electronic Resource
    Electronic Resource
    Pricing Options On Risky Assets In A Stochastic Interest Rate Economy (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper studies contingent claim valuation of risky assets in a stochastic interest rate economy. the model employed generalizes the approach utilized by Heath, Jarrow, and Morton (1992) by imbedding their stochastic interest rate economy into one containing an arbitrary number of additional risky assets. We derive closed form formulae for certain types of European options in this context, notably call and put options on risky assets, forward contracts, and futures contracts. We also value American contingent claims whose payoffs are permitted to be general functions of both the term structure and asset prices generalizing Bensoussan (1984) and Karatzas (1988) in this regard. Here, we provide an example where an American call's value is well defined, yet there does not exist an optimal trading strategy which attains this value. Furthermore, this example is not pathological as it is a generalization of Roll's (1977) formula for a call option on a stock that pays discrete dividends.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00030.x
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  • 2
    Electronic Resource
    Electronic Resource
    Option Pricing When Jump Risk Is Systematic (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper generalizes the Merton jump-diffusion option pricing model to the case in which jump risk cannot be eliminated in the market portfolio. the option pricing formula is obtained using a general equilibrium asset pricing model. Since jump risk is systematic, the correlation of the underlying stock's jump with the market portfolio's jump affects the option price.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00034.x
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  • 3
    Electronic Resource
    Electronic Resource
    Pricing the Quality Option In Treasury Bond Futures (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This article develops a model for pricing the quality option embedded in the Treasury bond futures contract. Since the option value is set relative to a large family of deliverable bond prices, it is important for the theoretical bond prices to match up to the observed prices. Hence an arbitrage-based model is used where the forward rate process is initialized at its current observable value. A model for valuing the quality option in an otherwise identical forward contract is also established. This permits the quality option and marking to market costs to be separately quantified. Support is provided for the common practice of pricing Treasury bond futures contracts as forward contracts with an embedded forward quality option.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00029.x
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  • 4
    Electronic Resource
    Electronic Resource
    DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In the modern theory of finance, the valuation of derivative assets is commonly based on a replication argument. When there are transaction costs, this argument is no longer valid. In this paper, we try to address the general problem of finding the optimal portfolio among those which dominate a given derivative asset at maturity. We derive an interval for its price. the upper bound is the minimum amount one has to invest initially in order to obtain proceeds at least as valuable as the derivative asset. the lower bound is the maximum amount one can borrow initially against the proceeds of the derivative asset. We show that, in some instances, this interval may be strictly bounded above by the price of the replicating strategy. Prima facie, the cost of a dominating strategy should appear to be higher than that of the replicating one. But because trading is costly, it may pay to weigh the benefits of replication against those of potential savings on transaction costs.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00039.x
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  • 5
    Electronic Resource
    Electronic Resource
    ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We derive alternative representations of the McKean equation for the value of the American put option. Our main result decomposes the value of an American put option into the corresponding European put price and the early exercise premium. We then represent the European put price in a new manner. This representation allows us to alternatively decompose the price of an American put option into its intrinsic value and time value, and to demonstrate the equivalence of our results to the McKean equation.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00040.x
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  • 6
    Electronic Resource
    Electronic Resource
    BOOK REVIEW (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: probability with martingales, by david williams
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00043.x
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  • 7
    Electronic Resource
    Electronic Resource
    The Relationship Between Risk and Maturity In A Stochastic Setting (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper explores the interest rate sensitivity of the prices of bonds and other securities when the instantaneous interest rate follows a Markov process. We show that whenever the interest rate describes a diffusion process the sensitivity of zero-coupon bonds increases with maturity. More generally, we characterize the risk-maturity relationship for contingent claims. This investigation yields a new property of option prices in the case where the underlying security price is a diffusion.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00024.x
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  • 8
    Electronic Resource
    Electronic Resource
    A Martingale Representation Result and an Application to Incomplete Financial Markets (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We establish necessary and sufficient conditions for an H1-martingale to be representable with respect to a collection, of local martingales. M H1(P) is representable if and only if M is a local martingale under all p.m.'s Q which are “uniformly equivalent” to P and which make all the elements of local martingales (Theorem 1.1). We then give necessary and sufficient conditions which are easier to verify, and only involve expectations (Theorem 1.2). We go on to apply these results to the problem of pricing claims in an incomplete financial market-establishing two conjectures of Harrison and Pliska(1981).
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00031.x
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  • 9
    Electronic Resource
    Electronic Resource
    Pricing Options With Curved Boundaries (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper provides a general valuation method for the European options whose payoff is restricted by curved boundaries contractually set on the underlying asset price process when it follows the geometric Brownian motion. Our result is based on the generalization of the Levy formula on the Brownian motion by T. W. Anderson in sequential analysis. We give the explicit probability formula that the geometric Brownian motion reaches in an interval at the maturity date without hitting either the lower or the upper curved boundaries. Although the general pricing formulae for options with boundaries are expressed as infinite series in the general case, our numerical study suggests that the convergence of the series is rapid. Our results include the formulae for options with a lower boundary by Merton (1973), for path-dependent options by Goldman, Sossin, and Gatto (1979), and for some corporate securities as special cases.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00033.x
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  • 10
    Electronic Resource
    Electronic Resource
    Tax Arbitrage, Existence of Equilibrium, and Bounded Tax Rebates (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00028.x
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