Extent: | Online-Ressource (22 p) |
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Series: | IMF working paper ; WP/08/6 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Description based upon print version of record Contents; I. Introduction; II. Smooth fluctuations in Commodity Revenue Collections-Option Transactions; A. Plain Vanilla Options; Figures; 1. A Put Option Structure; B. Risk Reversals; Tables; 1. Prices of ATM Options; 2. Prices of 20 Percent OTM Options; 2. A Zero Premium Risk Reversal Structure; C. Barrier Option Structures; 3. Prices of the Up-and-Out Put Options: H=120; 3. A Knock-out Option; III. Smooth Borrowing Cost-A Structured Product; A. The Instrument; B. Intermediary; 4. The Structure of the New Instrument; C. Pricing; 5 The Involvement of Investment Bank as an Intermediary 4. A-Priori Parameters6. Option Premium: ρ = −0.5; 7. Option Premium: H = 70; IV. Conclusions; 8. Option Premium: σ X = 0.2; References |
ISBN: | 978-1-4518-6868-5 ; 978-1-4519-1321-7 ; 978-1-4518-6868-5 |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012677561