American options can be exercised prior to the date of expiration, the valuation of American options then constitutes a free boundary value problem. How to determine the free boundary, i.e. the optimal exercise price,...American options can be exercised prior to the date of expiration, the valuation of American options then constitutes a free boundary value problem. How to determine the free boundary, i.e. the optimal exercise price, is a key problem. In this paper, a nonlinear equation is given. The free boundary can be obtained by solving the nonlinear equation and the numerical results are better.展开更多
The maximum relative error between continuous-time American option pricing model and binomial tree model is very small. In order to improve the European and American options in trade course, the thesis tried to build ...The maximum relative error between continuous-time American option pricing model and binomial tree model is very small. In order to improve the European and American options in trade course, the thesis tried to build early exercise European option and early termination American option pricing models. Firstly, the authors reviewed the characteristics of American option and European option, then there was compares between them. Base on continuous-time American option pricing model, this research analyzed the value of these options.展开更多
The European and American call options, for which the prices of their underlying asset follow compound Poisson process, are evaluated by a probability method. Formulas that can be used to evaluate the options are obta...The European and American call options, for which the prices of their underlying asset follow compound Poisson process, are evaluated by a probability method. Formulas that can be used to evaluate the options are obtained, which include not only the elements of an option: the price of the call option, the exercise price and the expiration date, but also the riskless interest rate, nevertheless exclude the volatility of the underlying asset. In practice, the evaluated results obtained by these formulas can provide references of making strategic decision for an investor who buys the call option and a company who sells the call option.展开更多
The relationship between options and agency costs in levered firms is studied by modeling the effect of executive stock options on the manager's investment strategy in levered firms. Stock options do not necessari...The relationship between options and agency costs in levered firms is studied by modeling the effect of executive stock options on the manager's investment strategy in levered firms. Stock options do not necessarily aggravate agency costs in levered firms. The corporate governance affects agency costs greatly. If debt-holders were entitled to design executive stock options together with stockholders, by allocating power properly between stockholders and debt-holders, firm value could be enhanced greatly. The following way of allocating power between the two parties is proposed: the exercise price should be the weighted average of the stockholders' and debt-holders' suggested exercise prices. The weight allocated to debt-holders is positively related to the amount of debts that debt-holders lend to stockholders.展开更多
基金Supported by National Science Foundation of China
文摘American options can be exercised prior to the date of expiration, the valuation of American options then constitutes a free boundary value problem. How to determine the free boundary, i.e. the optimal exercise price, is a key problem. In this paper, a nonlinear equation is given. The free boundary can be obtained by solving the nonlinear equation and the numerical results are better.
文摘The maximum relative error between continuous-time American option pricing model and binomial tree model is very small. In order to improve the European and American options in trade course, the thesis tried to build early exercise European option and early termination American option pricing models. Firstly, the authors reviewed the characteristics of American option and European option, then there was compares between them. Base on continuous-time American option pricing model, this research analyzed the value of these options.
文摘The European and American call options, for which the prices of their underlying asset follow compound Poisson process, are evaluated by a probability method. Formulas that can be used to evaluate the options are obtained, which include not only the elements of an option: the price of the call option, the exercise price and the expiration date, but also the riskless interest rate, nevertheless exclude the volatility of the underlying asset. In practice, the evaluated results obtained by these formulas can provide references of making strategic decision for an investor who buys the call option and a company who sells the call option.
文摘The relationship between options and agency costs in levered firms is studied by modeling the effect of executive stock options on the manager's investment strategy in levered firms. Stock options do not necessarily aggravate agency costs in levered firms. The corporate governance affects agency costs greatly. If debt-holders were entitled to design executive stock options together with stockholders, by allocating power properly between stockholders and debt-holders, firm value could be enhanced greatly. The following way of allocating power between the two parties is proposed: the exercise price should be the weighted average of the stockholders' and debt-holders' suggested exercise prices. The weight allocated to debt-holders is positively related to the amount of debts that debt-holders lend to stockholders.
