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Journal articles on the topic 'STOCK CALL OPTIONS'

Author: Grafiati

Published: 11 September 2023

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1

Antwi Baafi, Joseph. "The Nexus Between Black-Scholes-Merton Option Pricing and Risk: A Case of Ghana Stock Exchange." Archives of Business Research 10, no. 5 (2022): 140–52. http://dx.doi.org/10.14738/abr.105.12350.

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Even though option pricing and its market activities are not new, in Ghana the idea of trading options is yet to be realized. One popular method in pricing options is known as Black-Scholes-Merton option pricing model. Even though option pricing activities are not currently happening on the Ghana Stock Exchange, authors looked at the possibilities and preparedness of the GES to start trading such financial instrument. The main objective of this study therefore was to know how Black-Scholes-Merton model could be used to help in appropriate option value and undertake a risk assessment of stocks

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2

Blau, Benjamin M., T. Boone Bowles, and Ryan J. Whitby. "Gambling Preferences, Options Markets, and Volatility." Journal of Financial and Quantitative Analysis 51, no. 2 (2016): 515–40. http://dx.doi.org/10.1017/s002210901600020x.

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AbstractThis study examines whether the gambling behavior of investors affects volume and volatility in financial markets. Focusing on the options market, we find that the ratio of call option volume relative to total option volume is greatest for stocks with return distributions that resemble lotteries. Consistent with the theoretical predictions of Stein (1987), we demonstrate that gambling-motivated trading in the options market influences future spot price volatility. These results not only identify a link between lottery preferences in the stock market and the options market, but they als

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3

Cremers, Martijn, and David Weinbaum. "Deviations from Put-Call Parity and Stock Return Predictability." Journal of Financial and Quantitative Analysis 45, no. 2 (2010): 335–67. http://dx.doi.org/10.1017/s002210901000013x.

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AbstractDeviations from put-call parity contain information about future stock returns. Using the difference in implied volatility between pairs of call and put options to measure these deviations, we find that stocks with relatively expensive calls outperform stocks with relatively expensive puts by 50 basis points per week. We find both positive abnormal performance in stocks with relatively expensive calls and negative abnormal performance in stocks with relatively expensive puts, which cannot be explained by short sale constraints. Rebate rates from the stock lending market directly confir

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Hoyyi, Abdul, Abdurakhman Abdurakhman, and Dedi Rosadi. "VARIANCE GAMMA PROCESS WITH MONTE CARLO SIMULATION AND CLOSED FORM APPROACH FOR EUROPEAN CALL OPTION PRICE DETERMINATION." MEDIA STATISTIKA 14, no. 2 (2021): 183–93. http://dx.doi.org/10.14710/medstat.14.2.183-193.

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The Option is widely applied in the financial sector. The Black-Scholes-Merton model is often used in calculating option prices on a stock price movement. The model uses geometric Brownian motion which assumes that the data is normally distributed. However, in reality, stock price movements can cause sharp spikes in data, resulting in nonnormal data distribution. So we need a stock price model that is not normally distributed. One of the fastest growing stock price models today is the process exponential model. The process has the ability to model data that has excess kurtosis and a longer tai

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Stolorz, Beata. "Probability of Exercise of Option." Folia Oeconomica Stetinensia 6, no. 1 (2007): 1–14. http://dx.doi.org/10.2478/v10031-007-0001-8.

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Probability of Exercise of Option To estimate the risk the investors take when investing their money in stocks or stock options one must study if the option is exercised or not. From the point of view of a call option writer, especially those uncovered, one should study the probability of the exercise of option by a holder. The method presented in the paper enables to estimate risk connected with investment in options. In the assessment of risk that is born when investing money in stocks or options it is interesting whether the option will be exercised or not. From the writers' point of view,

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6

Bae, Kwangil. "Analytical Approximations of American Call Options with Discrete Dividends." Journal of Derivatives and Quantitative Studies 26, no. 3 (2018): 283–310. http://dx.doi.org/10.1108/jdqs-03-2018-b0001.

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In this study, we assume that stock prices follow piecewise geometric Brownian motion, a variant of geometric Brownian motion except the ex-dividend date, and find pricing formulas of American call options. While piecewise geometric Brownian motion can effectively incorporate discrete dividends into stock prices without losing consistency, the process results in the lack of closed-form solutions for option prices. We aim to resolve this by providing analytical approximation formulas for American call option prices under this process. Our work differs from other studies using the same assumptio

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Szu, Wen-Ming, Yi-Chen Wang, and Wan-Ru Yang. "How Does Investor Sentiment Affect Implied Risk-Neutral Distributions of Call and Put Options?" Review of Pacific Basin Financial Markets and Policies 18, no. 02 (2015): 1550010. http://dx.doi.org/10.1142/s0219091515500101.

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This paper investigates the characteristics of implied risk-neutral distributions separately derived from Taiwan stock index call and put options prices. Differences in risk-neutral skewness and kurtosis between call and put options indicate deviations from put-call parity. We find that the sentiment effect is significantly related to differences between call and put option prices. Our results suggest the differential impact of investor sentiment and consumer sentiment on call and put option traders' expectations about underlying asset prices. Moreover, rational and irrational sentiment compon

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8

Broughton, John B., Don M. Chance, and David M. Smith. "Implied Standard Deviations And Put-Call Parity Relations Around Primary Security Offerings." Journal of Applied Business Research (JABR) 15, no. 1 (2011): 1. http://dx.doi.org/10.19030/jabr.v15i1.5683.

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<span>This study examines the response of the options market to new security registrations and issuances. Two methods are employed to gauge option market response. The first involves the calculation of implied standard deviations (ISDs) around primary security registration and issuance dates. The second employs American put-call parity to simultaneously evaluate the relationship between put, call and stock prices around these dates. We find a statistically significant mean decrease in relative ISD five trading days before announcement of new stock issuances and a statistically significan

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BUCKLEY, JAMES J., and ESFANDIAR ESLAMI. "PRICING STOCK OPTIONS USING BLACK-SCHOLES AND FUZZY SETS." New Mathematics and Natural Computation 04, no. 02 (2008): 165–76. http://dx.doi.org/10.1142/s1793005708001008.

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We use the basic Black-Scholes equation for pricing European stock options but we allow some of the parameters in the model to be uncertain and we model this uncertainty using fuzzy numbers. We compute the fuzzy number for the call value of option with and without uncertain dividends. This fuzzy set displays the uncertainty in the option's value due to the uncertainty in the input values to the model. We also correct an error in a recent paper which also fuzzified the Black-Scholes equation.

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10

Chauhan, Arun, and Ravi Gor. "COMPARISON OF THREE OPTION PRICING MODELS FOR INDIAN OPTIONS MARKET." International Journal of Engineering Science Technologies 5, no. 4 (2021): 54–64. http://dx.doi.org/10.29121/ijoest.v5.i4.2021.203.

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  Black-Scholes option pricing model is used to decide theoretical price of different Options contracts in many stock markets in the world. In can find many generalizations of BS model by modifying some assumptions of classical BS model. In this paper we compared two such modified Black-Scholes models with classical Black-Scholes model only for Indian option contracts. We have selected stock options form 5 different sectors of Indian stock market. Then we have found call and put option prices for 22 stocks listed on National Stock Exchange by all three option pricing models. Finall

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EKSTRÖM, ERIK, and JOHAN TYSK. "OPTIONS WRITTEN ON STOCKS WITH KNOWN DIVIDENDS." International Journal of Theoretical and Applied Finance 07, no. 07 (2004): 901–7. http://dx.doi.org/10.1142/s0219024904002694.

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There are two common methods for pricing European call options on a stock with known dividends. The market practice is to use the Black–Scholes formula with the stock price reduced by the present value of the dividends. An alternative approach is to increase the strike price with the dividends compounded to expiry at the risk-free rate. These methods correspond to different stock price models and thus in general give different option prices. In the present paper we generalize these methods to time- and level-dependent volatilities and to arbitrary contract functions. We show, for convex contra

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12

Tewari, Manish, and Pradipkumar Ramanlal. "Floating Rate Notes in High Rate Environment and the Stock Market Response." International Journal of Finance & Banking Studies (2147-4486) 11, no. 3 (2022): 72–81. http://dx.doi.org/10.20525/ijfbs.v11i3.2020.

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Previous study finds that the firms with inferior growth options tend to issue callable bonds. Typically, these firms are characterized by stock underperformance. Previous study also finds that the floating rate as a superior alternative to the call provision, which is restrictive, when the interest rates are likely to fall. We study the long-term stock performance of floating rate notes (FRNs) issuing firms, issued when the interest rates are high. Stock overperformance would suggest floating rate as a preferred choice by the firms with high growth options rather the call option. We find that

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Bae, Kwangil. "Research on the American Call Options on the Stocks Paying Multiple Dividends." Journal of Derivatives and Quantitative Studies 27, no. 3 (2019): 253–74. http://dx.doi.org/10.1108/jdqs-03-2019-b0001.

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Cassimon et al. (2007) propose a pricing formula of American call options under the multiple dividends by extending Roll (1977). However, because these studies investigate the option pricing formula under the escrow model, there is inconsistency for the assumption of the stock prices. This paper proposes pricing formulas of American call options under the multiple dividends and piecewise geometric Brownian motion. For the formulas, I approximate the log prices of ex-dividend dates to follow a multivariate normal distribution, and decompose the option price as a function of payoffs and exercise

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Jiménez-Gómez, Miguel, Natalia Acevedo-Prins, and Miguel David Rojas-López. "Simulation hedge investment portfolios through options portfolio." Indonesian Journal of Electrical Engineering and Computer Science 16, no. 2 (2019): 843. http://dx.doi.org/10.11591/ijeecs.v16.i2.pp843-847.

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<p>This paper presents two hedging strategies with financial options to mitigate the market risk associated with the future purchase of investment portfolios that exhibit the same behavior as Colombia's COLCAP stock index. The first strategy consists in the purchase of a Call plain vanilla option and the second strategy in the purchase of a Call option and the sale of a Call option. The second strategy corresponds to a portfolio of options called Bull Call Spread. To determine the benefits of hedging and the best strategy, the Geometric Brownian Motion and Monte Carlo simulation is used.

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15

Li, Meng, Xuefeng Wang, and Fangfang Sun. "Proactive Hedging European Call Option Pricing with Linear Position Strategy." Discrete Dynamics in Nature and Society 2018 (September 17, 2018): 1–13. http://dx.doi.org/10.1155/2018/2087145.

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Proactive hedging option is an exotic European stock option designed for hedgers. Such option requires option holders to buy in (or sell out) the underlying asset (stock) and allows them to adjust the holdings of the underlying asset per its price changes within an option period. The proactive hedging option is an attractive choice for hedgers because its price is lower than that of classical options and because it completely hedges the risk of exposure for option holders. In this study, the underlying asset price movement is assumed to follow geometric fractional Brownian motion. The pricing

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Gerber, Hans U., and Elias S. W. Shiu. "Martingale Approach to Pricing Perpetual American Options." ASTIN Bulletin 24, no. 2 (1994): 195–220. http://dx.doi.org/10.2143/ast.24.2.2005065.

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AbstractThe method of Esscher transforms is a tool for valuing options on a stock, if the logarithm of the stock price is governed by a stochastic process with stationary and independent increments. The price of a derivative security is calculated as the expectation, with respect to the risk-neutral Esscher measure, of the discounted payoffs. Applying the optional sampling theorem we derive a simple, yet general formula for the price of a perpetual American put option on a stock whose downward movements are skip-free. Similarly, we obtain a formula for the price of a perpetual American call op

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17

Bae, Kwangil, Jangkoo Kang, and Hwa-Sung Kim. "Call options with concave payoffs: An application to executive stock options." Journal of Futures Markets 38, no. 8 (2018): 943–57. http://dx.doi.org/10.1002/fut.21924.

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18

Christain, Onugu,, Davies, Iyai, and Amad, Innocent Uchenna. "A Numerical Approximation on Black-Scholes Equation of Option Pricing." Asian Research Journal of Mathematics 19, no. 7 (2023): 92–105. http://dx.doi.org/10.9734/arjom/2023/v19i7682.

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This paper considered the notion of European option which is geared towards solving analytical and numerical solutions. In particular, we examined the Black-Scholes closed form solution and modified Black-Scholes (MBS) partial differential equation using Crank-Nicolson finite difference method. These partial differential equations were approximated to obtain Call and Put option prices. The explicit price of both options is found accordingly. The numerical solutions were compared to the closed form prices of Black-Scholes formula. More so, comparisons of other parameters were discussed for the

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19

MA, GUIYUAN, and SONG-PING ZHU. "Pricing American call options under a hard-to-borrow stock model." European Journal of Applied Mathematics 29, no. 3 (2017): 494–514. http://dx.doi.org/10.1017/s0956792517000262.

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While a classic result by Merton (1973,Bell J. Econ. Manage. Sci., 141–183) is that one should never exercise an American call option just before expiration if the underlying stock pays no dividends, the conclusion of a very recent empirical study conducted by Jensen and Pedersen (2016,J. Financ. Econ.121(2), 278–299) suggests that one should ‘never say never’. This paper complements Jensen and Pedersen's empirical study by presenting a theoretical study on how to price American call options under a hard-to-borrow stock model proposed by Avellaneda and Lipkin (2009,Risk22(6), 92–97). Our study

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20

Yang, Ming, and Yin Gao. "Pricing formulas of binary options in uncertain financial markets." AIMS Mathematics 8, no. 10 (2023): 23336–51. http://dx.doi.org/10.3934/math.20231186.

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<abstract><p>Binary options have a payoff that is either a fixed value or nothing at all. In this paper, the generalized pricing formulas of binary options, including European binary call options, European binary put options, American binary call options and American binary put options, are investigated in uncertain financial markets. By applying the Liu's stock model to describe the stock price, the explicit pricing formulas of binary options are derived successfully. Besides, the corresponding numerical examples for the above four kinds of binary options are discussed in this pap

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21

Guo, Meiding. "Research On The Pricing Of Rainbow Option Based On The Geometric Brownian Motion Model: Case Of Pfizer & Walmart." BCP Business & Management 32 (November 22, 2022): 438–45. http://dx.doi.org/10.54691/bcpbm.v32i.2964.

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Trading financial derivatives become more and more popular in the modern life. The investor wants to purchase the financial derivative to receive more benefits. However, Option is the important component in the financial derivatives. Compared with Futures, Option can let investor feel more convenance since it acts as the contract. This research analyzes the price of the Rainbow Option in the Stock market. The Stock market includes two companies which are Pfizer and Walmart. The results shows that the Rainbow Option should be priced between max of call options and the sum of the options. It can

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22

Bae, Sung C., and Haim Levy. "The Valuation of Stock Purchase Rights as Call Options." Financial Review 29, no. 3 (1994): 419–40. http://dx.doi.org/10.1111/j.1540-6288.1994.tb00404.x.

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23

Schober, Peter, and Martin Wagener. "Arbitrage potential in the Eurex order book – evidence from the financial crisis in 2008." Risk Governance and Control: Financial Markets and Institutions 5, no. 4 (2015): 300–313. http://dx.doi.org/10.22495/rgcv5i4c2art4.

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In this paper we investigate the valuation efficiency of the Eurex market for DAX single stock options. As a measure of arbitrage potential we use an adapted version of Stoll’s put-call parity model. By calculating deviations from the theoretical fair put and call prices before and during the financial crisis in 2008, we find evidence for a decrease in market’s valuation efficiency. Valuation efficiency is even worse for German financial stocks for which short selling was restricted. Although considerable profit opportunities are found, only a small number turn out to be profitable after trans

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Jaramillo-Restrepo, Juan Andrés, Miguel Jiménez-Gómez, and Natalia Acevedo-Prins. "Stock portfolio hedging with financial options." Indonesian Journal of Electrical Engineering and Computer Science 19, no. 3 (2020): 1436. http://dx.doi.org/10.11591/ijeecs.v19.i3.pp1436-1443.

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<span lang="EN-US">The financial market currently offers derivative products whose characteristics allow investors to reduce the negative impact of natural market fluctuations on the value of their assets. Hedging with financial options is one of the possible strategies that an investor can implement in order to reduce the exposure or risk of their investments. This paper aims to assess the real impact of financial options as a hedging instrument on an investment portfolio made up of variable income assets of the Colombian market. The results show that for options with an upward trend, c

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Chirima, Justin, Eriyoti Chikodza, and Senelani Dorothy Hove-Musekwa. "Uncertain Stochastic Option Pricing in the Presence of Uncertain Jumps." International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems 27, no. 04 (2019): 613–35. http://dx.doi.org/10.1142/s0218488519500272.

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In this paper, a new differential equation, driven by aleatory and epistemic forms of uncertainty, is introduced and applied to describe the dynamics of a stock price process. This novel class of differential equations is called uncertain stochastic differential equations(USDES) with uncertain jumps. The existence and uniqueness theorem for this class of differential equations is proposed and proved. An appropriate version of the chain rule is derived and applied to solve some examples of USDES with uncertain jumps. The differential equation discussed is applied in an American call option pric

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PITRAYANI, NI KADEK LANI, KOMANG DHARMAWAN, and I. NYOMAN WIDANA. "PENENTUAN KONTRAK OPSI TIPE EROPA MENGGUNAKAN MODEL SIMULASI VARIANCE GAMMA (VG)." E-Jurnal Matematika 12, no. 3 (2023): 182. http://dx.doi.org/10.24843/mtk.2023.v12.i03.p417.

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Options are used as a hedge against stock price uncertainty brought on by unstable stock prices fluctuation. The price of an option contract can be determined using a variety of approaches, one of which is the Variance Gamma. The purpose of this study is to compare the Black Scholes method with the Variance Gamma simulation model to determine the European call option contract price. The first thing that needs to be done is to figure out the moment variance gamma method. These parameters were used as initial values to get an idea of what the parameters that will be used in the simulation will b

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Zhang, Lidong, Yanmei Sun, and Xiangbo Meng. "European Spread Option Pricing with the Floating Interest Rate for Uncertain Financial Market." Mathematical Problems in Engineering 2020 (May 21, 2020): 1–8. http://dx.doi.org/10.1155/2020/2015845.

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In this paper, we investigate the pricing problems of European spread options with the floating interest rate. In this model, uncertain differential equation and stochastic differential equation are used to describe the fluctuation of stock price and the floating interest rate, respectively. We derive the pricing formulas for spread options including the European spread call option and the European spread put option. Finally, numerical algorithms are provided to illustrate our results.

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BÄUERLE, NICOLE, and DANIEL SCHMITHALS. "CONSISTENT UPPER PRICE BOUNDS FOR EXOTIC OPTIONS." International Journal of Theoretical and Applied Finance 24, no. 02 (2021): 2150011. http://dx.doi.org/10.1142/s0219024921500114.

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We consider the problem of finding a consistent upper price bound for exotic options whose payoff depends on the stock price at two different predetermined time points (e.g. Asian option), given a finite number of observed call prices for these maturities. A model-free approach is used, only taking into account that the (discounted) stock price process is a martingale under the no-arbitrage condition. In case the payoff is directionally convex we obtain the worst case marginal pricing measures. The speed of convergence of the upper price bound is determined when the number of observed stock pr

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Anderson, Chris K., and Neil Brisley. "Employee Stock Options: An Up-and-Out Protected Barrier Call." Applied Mathematical Finance 16, no. 4 (2009): 347–52. http://dx.doi.org/10.1080/13504860902753251.

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Mo, Di, Neda Todorova, and Rakesh Gupta. "Implied volatility smirk and future stock returns: evidence from the German market." Managerial Finance 41, no. 12 (2015): 1357–79. http://dx.doi.org/10.1108/mf-04-2015-0097.

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Purpose – The purpose of this paper is to investigate the relationship between option’s implied volatility smirk (IVS) and excess returns in the Germany’s leading stock index Deutscher-Aktien Index (DAX) 30. Design/methodology/approach – The study defines the IVS as the difference in implied volatility derived from out-of-the-money put options and at-the-money call options. This study employs the ordinary least square regression with Newey-West correction to analyse the relationship between IVS and excess DAX 30 index returns in Germany. Findings – The authors find that the German market adjus

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Höcht, Stephan, Dilip B. Madan, Wim Schoutens, and Eva Verschueren. "It Takes Two to Tango: Estimation of the Zero-Risk Premium Strike of a Call Option via Joint Physical and Pricing Density Modeling." Risks 9, no. 11 (2021): 196. http://dx.doi.org/10.3390/risks9110196.

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It is generally said that out-of-the-money call options are expensive and one can ask the question from which moneyness level this is the case. Expensive actually means that the price one pays for the option is more than the discounted average payoff one receives. If so, the option bears a negative risk premium. The objective of this paper is to investigate the zero-risk premium moneyness level of a European call option, i.e., the strike where expectations on the option’s payoff in both the P- and Q-world are equal. To fully exploit the insights of the option market we deploy the Tilted Bilate

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Huang, Xiaoxia, and Xuting Wang. "Portfolio Investment with Options Based on Uncertainty Theory." International Journal of Information Technology & Decision Making 18, no. 03 (2019): 929–52. http://dx.doi.org/10.1142/s0219622019500159.

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In financial markets, there are situations where investors have the future stock prices according to the experts’ evaluations rather than historical data. Thus, the estimations of the stock prices contain much subjective imprecision instead of randomness. This paper discusses a portfolio investment with options in such a kind of situation. Treating the stock index price as an uncertain variable, we build an uncertain mean-chance portfolio model based on uncertainty theory and provide the equivalent form of the model. Furthermore, we make a comparison of the optimal expected return between port

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ALGHALITH, MOAWIA, CHRISTOS FLOROS, and THOMAS POUFINAS. "SIMPLIFIED OPTION PRICING TECHNIQUES." Annals of Financial Economics 14, no. 01 (2019): 1950003. http://dx.doi.org/10.1142/s2010495219500039.

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In this paper we provide alternative methods for pricing European and American call and put options. Our contribution lies in the simplification attempted in the models developed. Such simplification is feasible due to our observation that the value of the option can be derived as a function of the underlying stock price, strike price and time to maturity. This route is supported by the fact that both the risk-free rate and the volatility of the stock are captured by the move of the underlying stock price. Moreover, looking at the properties of the Brownian motion, widely used to map the move

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Kwark, Noe-Keol, Hyoung-Goo Kang, and Sang-Gyung Jun. "Can Derivative Information Predict Stock Price Jumps?" Journal of Applied Business Research (JABR) 31, no. 3 (2015): 845. http://dx.doi.org/10.19030/jabr.v31i3.9222.

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<p>This study examines the predictability of jumps in stock prices using options-trading information, the futures basis spread, the cross-sectional standard deviation of returns on components in the stock index, and exchange rates. A stock price jump was defined as a large fluctuation in the stock price that deviated from the distribution thresholds of the past rates of return. This empirical analysis shows that the implied volatility spread between ATM call and put options was a significant predictor for both upward and downward jumps, whereas the volatility skew was less significant. I

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Fadhilla, Putri, and Rudianto Artiono. "PENGGUNAAN STRATEGI HEDGING (LINDUNG NILAI) PADA PEMODELAN OPSI SAHAM KARYAWAN YANG MENGALAMI PERGERAKAN PERDAGANGAN SECARA STATIS DAN DINAMIS." MATHunesa: Jurnal Ilmiah Matematika 9, no. 3 (2021): 532–41. http://dx.doi.org/10.26740/mathunesa.v9n3.p532-541.

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Abstrak Artikel ini bertujuan untuk memodelkan opsi saham karyawan yang mengalami pergerakan perdagangan secara statis dan dinamis menggunakan strategi hedging (lindung nilai). Hedging (lindung nilai) merupakan tindakan yang dilakukan untuk melindungi aset ataupun hutang sebuah perusahaan dari exposure terhadap perubahan nilai tukar sehingga dapat mengurangi atau meniadakan resiko pada suatu investasi di bursa saham. Strategi ini digunakan untuk melindungi nilai keuangan jangka panjang pada aset non liquid seperti opsi saham. Opsi saham merupakan suatu perjanjian yang memungkinkan pemili

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Gardner, John C., and Carl B. McGowan Jr. "Valuing Coca-Cola And PepsiCo Options Using The Black-Scholes Option Pricing Model And Data Downloads From The Internet." Journal of Business Case Studies (JBCS) 8, no. 6 (2012): 559–64. http://dx.doi.org/10.19030/jbcs.v8i6.7377.

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In this paper, we demonstrate how to collect the data and compute the actual value of Black-Scholes Option Pricing Model call option prices for Coca-Cola and PepsiCo.The data for the current stock price and option price are taken from Yahoo Finance and the daily returns variance is computed from daily prices.The time to maturity is computed as the number of days remaining for the stock option.The risk-free rate is obtained from the U.S. Treasury website.

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Guo, Xin, and Larry Shepp. "Some optimal stopping problems with nontrivial boundaries for pricing exotic options." Journal of Applied Probability 38, no. 3 (2001): 647–58. http://dx.doi.org/10.1239/jap/1005091029.

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We solve the following three optimal stopping problems for different kinds of options, based on the Black-Scholes model of stock fluctuations. (i) The perpetual lookback American option for the running maximum of the stock price during the life of the option. This problem is more difficult than the closely related one for the Russian option, and we show that for a class of utility functions the free boundary is governed by a nonlinear ordinary differential equation. (ii) A new type of stock option, for a company, where the company provides a guaranteed minimum as an added incentive in case the

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Guo, Xin, and Larry Shepp. "Some optimal stopping problems with nontrivial boundaries for pricing exotic options." Journal of Applied Probability 38, no. 03 (2001): 647–58. http://dx.doi.org/10.1017/s0021900200018817.

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We solve the following three optimal stopping problems for different kinds of options, based on the Black-Scholes model of stock fluctuations. (i) The perpetual lookback American option for the running maximum of the stock price during the life of the option. This problem is more difficult than the closely related one for the Russian option, and we show that for a class of utility functions the free boundary is governed by a nonlinear ordinary differential equation. (ii) A new type of stock option, for a company, where the company provides a guaranteed minimum as an added incentive in case the

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Biebuyck, Anton, and Johan H. Van Rooyen. "Valuing put options on single stock futures: Does the put-call parity relationship hold in the South African derivatives market?" Risk Governance and Control: Financial Markets and Institutions 4, no. 4 (2014): 107–19. http://dx.doi.org/10.22495/rgcv4i4c1art5.

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This study attempts to determine whether mispricing of options on single stock futures is present in the South African derivatives market. The valuation of options on single stock futures is considered through the put-call parity relationship. The theoretical fair values obtained, are compared to the actual market values over a period of three years, that is, from 2009 to 2011. Only put options are considered in this research.The results show that arbitrage put option opportunities do present themselves for the chosen shares. The actual put options were found to be underpriced in 5 out of 6 (8

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Lee, Jaeram. "Information Contents of Order Flow Toxicity in the Options Market : The Case of KOSPI200 Index Options." Journal of Derivatives and Quantitative Studies 27, no. 4 (2019): 365–400. http://dx.doi.org/10.1108/jdqs-04-2019-b0001.

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This study estimates the VPIN (volume-synchronized probability of informed trading) of the KOSPI200 index options, the measure of order flow toxicity suggested by Easley et al. (2012), for the first time. To apply the VPIN approach, options are categorized by their real-time moneyness. I examine the predictive power of VPIN for the future stock market volatility using time-series regression analysis. The empirical result shows that the toxic order flow measure estimated by price changes has more information than that estimated by the actual order imbalance. In general, put options contain more

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Megawati, Megawati, and Rudianto Artiono. "Pemodelan Opsi Saham Karyawan Menggunakan Pendekatan Top-Down." MATHunesa: Jurnal Ilmiah Matematika 9, no. 3 (2021): 524–31. http://dx.doi.org/10.26740/mathunesa.v9n3.p524-531.

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Abstrak Opsi saham merupakan suatu perjanjian yang memungkinkan pemiliknya untuk melakukan call (menjual) atau put (membeli) suatu saham dengan harga yang telah ditentukan pada waktu tertentu. Salah satu jenis opsi saham adalah opsi saham karyawan (OSK) atau yang lebih dikenal dengan Employee Stock Options (ESO). Pemegang OSK dapat melakukan exercise opsi lebih awal setelah melewati vesting period dan secara bertahap melakukan exercise terhadap opsi yang tersisa sebelum maturity time. Penelitian ini bertujuan untuk memodelkan harga opsi saham karyawan melalui suatu analisis fundamental y

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Ibrahim, Siti Nur Iqmal, Adem Kilicman, and Mohamed Faris Laham. "Analytical Formula of European-Style Power Call Options in an MFBM with Jumps Model." Journal of Engineering and Science Research 6, no. 6 (2022): 84–87. http://dx.doi.org/10.26666/rmp.jesr.2022.6.8.

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Studies have shown that stock price process exhibits long-range dependence. To address this, many have introduced the mixed-fractional Brownian motion (MFBM) model to the stock price process. Under risk-neutral measure, this study provides an analytical formula for the price of European-style power call options in an MFBM environment with the inclusion of the jumps process. Modeling the stock price with MFBM and jumps process enables the capturing of long memory trend as well as discontinuity in the stock price process.

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Félix, Luiz, Roman Kräussl, and Philip Stork. "Single Stock Call Options as Lottery Tickets: Overpricing and Investor Sentiment." Journal of Behavioral Finance 20, no. 4 (2019): 385–407. http://dx.doi.org/10.1080/15427560.2018.1511792.

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Ma, Guiyuan, Song-Ping Zhu, and Wenting Chen. "Pricing European call options under a hard-to-borrow stock model." Applied Mathematics and Computation 357 (September 2019): 243–57. http://dx.doi.org/10.1016/j.amc.2019.04.002.

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Pukthuanthong, Kuntara, and Thomas Walker. "On the pros and cons of employee stock options: What are the alternatives?" Corporate Ownership and Control 4, no. 1 (2006): 266–83. http://dx.doi.org/10.22495/cocv4i1c2p3.

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Despite theoretical validity, there is mixed empirical evidence on whether employee stock options align the interests of management and shareholders by turning managers into owners. Yet, recent accounting scandals, excessive payouts, and the public’s call for a proper recognition of stock option grants have produced considerable debate in boardrooms and the financial press about the desirability of using stock options. This paper provides an overview of the empirical research in the field and discusses the advantages and disadvantages of using stock options as part of an employee’s compensatio

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Huang, Hong, and Yufu Ning. "Risk-Neutral Pricing Method of Options Based on Uncertainty Theory." Symmetry 13, no. 12 (2021): 2285. http://dx.doi.org/10.3390/sym13122285.

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In order to rationally deal with the belief degree, Liu proposed uncertainty theory and refined into a branch of mathematics based on normality, self-duality, sub-additivity and product axioms. Subsequently, Liu defined the uncertainty process to describe the evolution of uncertainty phenomena over time. This paper proposes a risk-neutral option pricing method under the assumption that the stock price is driven by Liu process, which is a special kind of uncertain process with a stationary independent increment. Based on uncertainty theory, the stock price’s distribution and inverse distributio

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Kim, Suhkyong. "Financial Crisis, Put-Call Parity and Momentum Effect." Journal of Derivatives and Quantitative Studies 22, no. 1 (2014): 141–59. http://dx.doi.org/10.1108/jdqs-01-2014-b0007.

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This study investigates the deviation from put-call parity in the KOSPI200 options market. The sample period is from January 2, 2006 to May 31, 2009. Due to the financial crisis in 2008, short sale of stocks had been prohibited from October 1, 2008 to May 31, 2009. The sample is divided into the pre-crisis period and the crisis period. The crisis period is the period during which short sale of stocks are prohibited. The summary statistics shows that the trading volume of KOSPI200 stocks doubled, but the trading volume of call options and that of put options declined to one half and one third f

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Goard, Joanna, and Mohammed AbaOud. "Pricing European and American Installment Options." Mathematics 10, no. 19 (2022): 3494. http://dx.doi.org/10.3390/math10193494.

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This paper derives accurate and efficient analytic approximations for the prices of both European and American continuous-installment call and put options. The solutions are in the form of series in time-to-expiry with explicit formulae for the coefficients provided. Unlike other solutions for installment options, no Laplace inverses are needed, and there is no need to solve complex, recursive systems or integral equations. The formulae provided fast yield and accurate solutions not just for the prices, but also for the critical boundaries. We also compare the solutions with those obtained usi

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Seamer, Michael, and Adrian Melia. "Remunerating non-executive directors with stock options: who is ignoring the regulator?" Accounting Research Journal 28, no. 3 (2015): 251–67. http://dx.doi.org/10.1108/arj-12-2013-0092.

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Purpose – This paper aims to investigate the incidence of remunerating Australian Securities Exchange (ASX)-listed non-executive directors (NEDs) with options and to determine whether companies that fail to adhere to NED remuneration recommendations share a common corporate governance profile. Despite corporate regulators condemning the practice of remunerating NEDs with stock options, there is a paucity of evidence regarding its prevalence in Australia. Design/methodology/approach – Focusing on ASX400 companies during 2008, a series of hypotheses relating NED stock option remuneration and cor

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Shao, Zeyuan. "Pricing Technique for European Option and Application." Highlights in Business, Economics and Management 14 (June 12, 2023): 14–18. http://dx.doi.org/10.54097/hbem.v14i.8930.

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In financial mathematics, the pricing technique for derivatives is constantly debated. In this paper, the pricing technique of the European Option is mainly discussed, and the binomial tree (BN) model is first applied to the pricing process of European options. The previous results show that carbon credit index can be traded as an option, and BN model can correctly simulate the future price of call option constructed by consuming the carbon credit index. Secondly, the Black-Scholes (BN) model is also a crucial technique for pricing European options, and it is successfully applied to predicting

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