𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Managerial Stock Options and the Hedging Premium

✍ Scribed by Niclas Hagelin; Martin Holmén; John D. Knopf; Bengt Pramborg


Book ID
111059118
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
125 KB
Volume
13
Category
Article
ISSN
1354-7798

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


Option pricing and perfect hedging on co
✍ Josep Perelló; Jaume Masoliver 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 509 KB

We develop a theory for option pricing with perfect hedging in an ine cient market model where the underlying price variations are autocorrelated over a time ¿ 0. This is accomplished by assuming that the underlying noise in the system is derived by an Ornstein-Uhlenbeck, rather than from a Wiener p

Trend derivatives: Pricing, hedging, and
✍ Markus Leippold; Jürg Syz 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 934 KB

## Abstract Both institutional and private investors often have only limited flexibility in timing their investment decision. They look for investments that will ideally be independent of the timing decision. In this article, a new class of derivative products whose payoff is linked to the trend of

Optimal cross-hedge portfolios for hedgi
✍ Michael J. Alderson; Terry L. Zivney 📂 Article 📅 1989 🏛 John Wiley and Sons 🌐 English ⚖ 701 KB

overed call writing is a popular investment strategy among both individual and C institutional investors. The introduction of index option contracts created a new vehicle for those programs. Effective maintenance of a covered index position is potentially complicated by the requirement that the unde