𝔖 Bobbio Scriptorium
✦   LIBER   ✦

On the Upper Bound of a Call Option

✍ Scribed by John C. Handley


Book ID
106514029
Publisher
Springer US
Year
2005
Tongue
English
Weight
157 KB
Volume
8
Category
Article
ISSN
1380-6645

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Upper bounds for american futures option
✍ Mohammed M. Chaudhury; Jason Wei πŸ“‚ Article πŸ“… 1994 πŸ› John Wiley and Sons 🌐 English βš– 264 KB

Under standard perfect market assumptions, the cost-of-carry formula can be applied to calculate the value of a pure (futures-style margining) European futures option at time t with maturity at T [Duffie (1989, p. 285); Lieu (1990, p. 332)l: where EC and EP are conventional European futures option

A note on rational call option exercise
✍ Malin EngstrΓΆm πŸ“‚ Article πŸ“… 2002 πŸ› John Wiley and Sons 🌐 English βš– 92 KB

## Abstract Using Swedish equity option data, the rationality in the exercise of American call options is analyzed to see how well it complies with the theoretical exercise rules. Although the exercise behavior appears to be rational overall, several cases of both faulty exercise and failure to exe