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Convertible Bond Valuation with Regime Switching

Jang, Bong-Gyu - 2020

We provide an analytic valuation formula for convertible bonds with regime-switching market conditions. We divide the convertible bond into a coupon-bearing bond component and an American-type exchange option component. We develop a new valuation method of the exchange option component by...

Persistent link: https://www.econbiz.de/10012833594

On the consistency of regression-based Monte Carlo methods for pricing Bermudan options in case of estimated financial models

Fromkorth, Andreas; Köhler, Michael - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 371-399

Persistent link: https://www.econbiz.de/10011350612

Option Pricing Under Two-State Markov Chain Market Model

Radkov, Petar - 2014

This paper analyses a two-state Markov chain model, which is a discrete-time model of a financial market. The uncertainty in a financial market is presented as the changes of the risky asset are modulated by a discrete-time, two-state, Markov chain. It examines two versions of our Markov chain...

Persistent link: https://www.econbiz.de/10013043607

Measuring the Usefulness of Earnings Announcement for Uninformed Traders-Evidence from Implied Volatility in Option Market

Wang, Yushi; Sarath, Bharat; Li, Yubin - 2023

In this research study, we develop a new measure based on the option market to address the information role of earnings announcement on uninformed traders. Enlightened by previous theoretical work by Kim and Verrecchia (1991, 1994) and empirical findings in Patell and Wolfson (1979, 1981), our...

Persistent link: https://www.econbiz.de/10014260079

A call on Art investments

Kräussl, Roman; Wiehenkamp, Christian - 2010

option on an art index, derived from one of the most comprehensive data sets of art market transactions. The option allows … investors to optimize their exposure to art. For pricing purposes, non-tradability of the art index is acknowledged and option … are significantly exposed to art and try to hedge their art exposure by selling a derivative. -- Art Market ; Art Index …

Persistent link: https://www.econbiz.de/10003947461