✍ Scribed by Oscar Gutiérrez; Francisco Ruiz-Aliseda
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
Real options problems have recently attracted much attention worldwide. One such problem is how to deal with claims on 'non-traded' assets. Often there is another traded asset which is correlated to the non-traded asset, and this traded asset is used as a proxy for hedging purposes. We introduce a
## Abstract This paper explores the effect of extreme events or big jumps downwards and upwards on the jump‐diffusion option pricing model of Merton (1976). It starts by obtaining a special case of the jump‐diffusion model where there is a positive probability of a big jump downwards. Then, it obta
## Abstract This article makes two contributions to the literature. The first contribution is to provide the closed‐form pricing formulas of reset options with strike resets and predecided reset dates. The exact closed‐form pricing formulas of reset options with strike resets and continuous reset p
This article discusses the competitive behavior of a firm in industry. In the research, the emphasis is put on the behavior of entry deterrence with excess capacity under uncertainty aiming at the efficiency of the entry-deterring strategy against the rival who is holding options to entry. Based on