In this article, futures and commodity options are analyzed in the context of Merton's (1987) model of capital market equilibrium with incomplete information. First, following Dusak (1973) and Black (1976), the conditions under which Merton's model can be applied to the valuation of forward and futu
Option Valuation with Information Costs: Theory and Tests
β Scribed by Mondher Bellalah; Bertrand Jacquillat
- Book ID
- 119856490
- Publisher
- John Wiley and Sons
- Year
- 1995
- Tongue
- English
- Weight
- 911 KB
- Volume
- 30
- Category
- Article
- ISSN
- 0732-8516
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π SIMILAR VOLUMES
## I9 12 5 . The horizontal axis measures option moneyness, defined as the percentage difference between a discounted strike price and a stock price, i.e., ## Ke-* -So Ke-\* x 100 and the vertical axis measures values for -Q3 and Q4. The most telling observation from Figure is that negative s
## Abstract This paper develops an integration of transactions costs theory and real options theory that leads to a more complete representation of the problem of economic organizing. By recognizing the opportunity costs associated with internalization of specificβuse assets when flexible assets ar