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
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
## 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
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