Glasserman, Paul; Wang, Zhenyu - In: Management Science 57 (2011) 7, pp. 1195-1211
contingent claims framework in which to estimate market values of these CAP securities. The interaction between the competing … options held by the buyer and issuer of these securities creates a game between the two parties, and our approach captures …) launched together with the CAP. On average, we estimate that compared to a market transaction, the CAP securities carry a net …