Showing 1 - 10 of 2,561
In this paper we introduce a new methodology to price American put options under stochastic interest
Persistent link: https://www.econbiz.de/10005209485
In this paper we introduce a new methodology to price American put options under stochastic interestrates. The method is a combination of an analytic approach and a binomial tree approach. We constructa binomial tree for the forward risk adjusted tree and calculate analytically the expected...
Persistent link: https://www.econbiz.de/10010324635
Persistent link: https://www.econbiz.de/10001504675
Persistent link: https://www.econbiz.de/10000985330
Persistent link: https://www.econbiz.de/10000988108
In this paper we introduce a new methodology to price American put options under stochastic interestrates. The method is a combination of an analytic approach and a binomial tree approach. We constructa binomial tree for the forward risk adjusted tree and calculate analytically the expected...
Persistent link: https://www.econbiz.de/10010533199
In this paper we develop a new method to value American stock options with stochastic interest rates. We construct a binomial tree for the stock price divided by the price of the zero coupon bond that matures at the maturity date of the option. In fact, we construct a tree for the so-called...
Persistent link: https://www.econbiz.de/10012728380
In this paper we develop a new method to value American stock options with stochastic interest rates. We construct a binomial tree for the stock price divided by the price of the zero coupon bond that matures at the maturity date of the option. In fact, we construct a tree for the so-called...
Persistent link: https://www.econbiz.de/10012774559
We consider eight different measures (issued amount, coupon, listed, age, missingprices, price volatility, number of contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity, credit and currencydifferences between bonds. The...
Persistent link: https://www.econbiz.de/10011256564
We value rating-triggered step-up bonds with three methods: (i) the Jarrow, Lando andTurnbull (1997, JLT) framework, (ii) a similar framework using historical probabilities and(iii) as plain vanilla bonds. We find that the market seems to value single step-up bondsaccording to the JLT model,...
Persistent link: https://www.econbiz.de/10011255659