Valuing Announcement Options
β Scribed by Anna Dempster
- Book ID
- 113598197
- Publisher
- Elsevier Science
- Year
- 2006
- Tongue
- English
- Weight
- 212 KB
- Volume
- 24
- Category
- Article
- ISSN
- 0263-2373
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
This study analyzes sellerβdefaultable options that allow option writers to have a freeβwill right to default, along with some prespecified default mechanisms. We analytically and numerically examine the pricing, hedging, defaulting, and profitability of the sellerβdefaultable options, considering t
wning a security with a guaranteed future sale price and date is (almost) 0 equivalent to a short-term investment extending to the sale date. Yet, in the Treasury bond futures market the prices seem too low to provide a fair rate of return to those who short T-bond futures. That is, the short term i