Author: Douglas MacLennan PattersonPublisher:
ISBN:
Category : New York (N.Y.)
Languages : en
Pages : 406
Book Description
Warrant Prices in the Context of the Option Pricing Model and the Efficiency of the New York Stock Exchange
Author: Douglas MacLennan PattersonPublisher:
ISBN:
Category : New York (N.Y.)
Languages : en
Pages : 406
Book Description
Warrant Prices in the Concept of the Option Pricing Model
Author: Douglas MacLennan PattersonPublisher:
ISBN:
Category : Capital market
Languages : en
Pages : 396
Book Description
Comprehensive Dissertation Index
Author: Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 792
Book Description
Vols. for 1973- include the following subject areas: Biological sciences, Agriculture, Chemistry, Environmental sciences, Health sciences, Engineering, Mathematics and statistics, Earth sciences, Physics, Education, Psychology, Sociology, Anthropology, History, Law & political science, Business & economics, Geography & regional planning, Language & literature, Fine arts, Library & information science, Mass communications, Music, Philosophy and Religion.
Dissertation Abstracts International
Author: Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 820
Book Description
Abstracts of dissertations available on microfilm or as xerographic reproductions.
Comprehensive Dissertation Index: Business & economics, L-Z
Author: Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 794
Book Description
Option Pricing in the Presence of Warrants
Author: Georgia LekkasPublisher:
ISBN:
Category : Pricing
Languages : en
Pages : 0
Book Description
This study estimates option prices via a recombining binomial tree incorporating the effect of warrant dilution on the capital structure of the firm (Warrant Dilution Option-Pricing model--WDOP). The binomial lattice is constructed on the value of the firm under the assumption of constant volatility of the rate of return of the firm value. The mean percentage prediction error and the mean absolute value of the mean prediction error indicate that the predicted option prices deviate significantly from the observed option prices. The weak predicting performance of the WDOP model doesn't seem to follow a systematic pattern. This is true even when the sample is divided into subcategories based on option moneyness, and option and warrant life. We tested the WDOP model with one parameter, the volatility of the rate of return of the firm value, estimated out-of-sample. We compare the WDOP model with the Black Schole option-pricing model (hereafter B/S) applied to the options without taking into account the equity dilution effect. Finally, we calculate the warrant prices throughout the sample.
American Doctoral Dissertations
Author: Publisher:
ISBN:
Category : Dissertation abstracts
Languages : en
Pages : 568
Book Description
Option Pricing
Author: Menachem BrennerPublisher: Free Press
ISBN:
Category : Business & Economics
Languages : en
Pages : 264
Book Description
Comprehensive Dissertation Index: Business & economics, A-K
Author: Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 808
Book Description
Options
Author: Source WikipediaPublisher: University-Press.org
ISBN: 9781230580166
Category :
Languages : en
Pages : 88
Book Description
Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. Pages: 87. Chapters: Black-Scholes, Warrant, Black model, Option, Real options valuation, Binomial options pricing model, Employee stock option, Option style, Stock option return, Singapore Mercantile Exchange, Call option, Binary option, Swaption, Covered call, Box spread, Put option, Buy-write, Iron condor, Bond option, Volatility smile, Stochastic volatility, Foreign exchange option, Put-call parity, Backspread, CBOE DJIA BuyWrite Index, Barrier option, Asian option, Option naming convention, Finite difference methods for option pricing, Straddle, Volatility arbitrage, Binary options platform, SABR Volatility Model, CBOE S&P 500 BuyWrite Index, Options strategies, Covered warrant, Pin risk, Stock Appreciation Right, CBOE S&P 500 PutWrite Index, Moneyness, Credit spread, Equity derivative, Exotic option, Incentive stock option, Greenspan put, Trinomial tree, Options spread, Range accrual, Option time value, Bull spread, Option symbol, Married put, Kansas City Board of Trade, Low Exercise Price Option, Timer Call, Butterfly, Callable bond, Bear spread, Strike price, Naked call, Net volatility, Naked put, Options arbitrage, Mountain range, Risk reversal, Strangle, Turbo warrant, Synthetic position, Credit default option, Puttable bond, Calendar spread, Option screener, Rainbow option, Ratio spread, LEAPS, Phantom Stock, Pair options, Debit spread, Cliquet, Commodore option, Put/call ratio, Compound option, Lattice model, Options writing, Chooser option, Iron butterfly, Jump diffusion, Vertical spread, Contingent value rights, Interest rate guarantee, Valuation of options, Ascot, Cash or share option, Combinations, Smooth pasting, Basket option.