Exotic options, or “path-dependent” options are options whose payoff depends on the behavior of the price of the underlying between 0 and the maturity, rather than merely on the final price of the underlying, such a...Exotic options, or “path-dependent” options are options whose payoff depends on the behavior of the price of the underlying between 0 and the maturity, rather than merely on the final price of the underlying, such as compound options, reset options and so on. In this paper, a generalization of the Geske formula for compound call options is obtained in the case of time-dependent volatility and time-dependent interest rate by applying martingale methods and the change of numeraire or the change of probability measure. An analytic formula for the reset call options with predetermined dates is also derived in the case by using the same approach. In contrast to partial differential equation (PDE) approach, our approach is simpler.展开更多
This paper screens five pairs of call walTants/put warrants with the same listing date and final exercise date from domestic delisted wattant, and collects and processes relevant statistic in warrant market and stock ...This paper screens five pairs of call walTants/put warrants with the same listing date and final exercise date from domestic delisted wattant, and collects and processes relevant statistic in warrant market and stock market. Because inconformity of strike price between call warrants/put warrants in domestic warrant market, and regarding the strike price of put warrants as standard, this paper takes advantage of BSM formula recalculates the price of call warrants, and carries out verification of option parity relations by regression analysis and Wilcoxon＇s Sign Rank Test. From a theoretical point of view, homogenous call warrants/put warrants should satisfy the parity relations. However, due to the lack of short sales mechanism in domestic warrant market and stock market, the empirical results indicate that domestic warrant market can＇ t meet the option parity relations.展开更多
Since the 18th CPC National Congress,especially since the Central Conference on Work Relating to Neighborhood Diplomacy held in October 2013,China’s neighborhood diplomacy has been energetic,proactive and promising,a...Since the 18th CPC National Congress,especially since the Central Conference on Work Relating to Neighborhood Diplomacy held in October 2013,China’s neighborhood diplomacy has been energetic,proactive and promising,achieving important results in several aspects.At the same time,it is also in face of展开更多
基金Project (No. Y604137) supported by the Natural Science Foundationof Zhejiang Province, China
文摘Exotic options, or “path-dependent” options are options whose payoff depends on the behavior of the price of the underlying between 0 and the maturity, rather than merely on the final price of the underlying, such as compound options, reset options and so on. In this paper, a generalization of the Geske formula for compound call options is obtained in the case of time-dependent volatility and time-dependent interest rate by applying martingale methods and the change of numeraire or the change of probability measure. An analytic formula for the reset call options with predetermined dates is also derived in the case by using the same approach. In contrast to partial differential equation (PDE) approach, our approach is simpler.
文摘This paper screens five pairs of call walTants/put warrants with the same listing date and final exercise date from domestic delisted wattant, and collects and processes relevant statistic in warrant market and stock market. Because inconformity of strike price between call warrants/put warrants in domestic warrant market, and regarding the strike price of put warrants as standard, this paper takes advantage of BSM formula recalculates the price of call warrants, and carries out verification of option parity relations by regression analysis and Wilcoxon＇s Sign Rank Test. From a theoretical point of view, homogenous call warrants/put warrants should satisfy the parity relations. However, due to the lack of short sales mechanism in domestic warrant market and stock market, the empirical results indicate that domestic warrant market can＇ t meet the option parity relations.
文摘Since the 18th CPC National Congress,especially since the Central Conference on Work Relating to Neighborhood Diplomacy held in October 2013,China’s neighborhood diplomacy has been energetic,proactive and promising,achieving important results in several aspects.At the same time,it is also in face of
