valuation of stock options black scholes
Numerical Solutions of the Black Scholes Equation
Ngày tải lên :
25/10/2013, 19:20
... spread of x values, which can be truncated without loss of
accuracy.
The Black Scholes value of this option is superimposed on the following graphs. The
inside (darker) band denotes ±0.1% of the Black ... 8
Numerical Solutions of the Black
Scholes Equation
8.1 FINITE DIFFERENCE APPROXIMATIONS
(i) The object of this chapter is to explain various methods of solving the Black Scholes equation
by numerical ... Discretization of the Full Black Scholes Model: We finish this section with an observation
rather than a new method or technique. By a simple change of variables, we can transform
the Black Scholes equation...
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Tài liệu McGraw.Hill.Stock Options And The New Rules Of Corporate Accountability doc
Ngày tải lên :
21/12/2013, 01:19
... short-
term wealth instead of focusing on sustained performance and
enduring results.
STOCK OPTIONS AND CORPORATE CULTURE
When stock options particularly large amounts of them—
are offered to executives ... pro-
ponent of stock option expensing. Options have a real cost to the
company, and they represent something of real value to the recipi-
ent. Stock options are a compensation event; they are part of ... performance of
the stock?
Delves: That goes back to the larger point that we focus way too much
on stock and stock prices. Some studies show that 75 percent of the
movement of the stock has very...
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Tài liệu Pricing Stock Options Under Stochastic Volatility And Interest Rates With Efficient Method Of Moments Estimati ppt
Ngày tải lên :
21/12/2013, 01:20
... use of implied volatility or volatility risk. The Black- Scholes model
exhibits similar pattern of mispricing, namely underpricing of short-maturity options
and over-pricing of long-maturity options, ... the Black- Scholes model,
even though all the models share similar patterns of mispricing as the Black- Scholes
model, i.e. underpricing of short-term deep ITM and OTM options and overpricing of
long-term ... the Black- Scholes option prices are different
for options on high and low risk stocks, see, e.g. Black and Scholes (1972), Gultekin,
Rogalski, and Tinic (1982), and Whaley (1982). Inclusion of...
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Định giá cổ phiếu phát hành lần đầu theo mô hình định giá quyền chọn Black Scholes trên thị trường chứng khoán Việt Nam .
Ngày tải lên :
09/04/2013, 15:03
... CHỌN
BLACK SCHOLES
Công thức định giá quyền chọn trong trường hợp giá tài sản cơ sở
biến đổi liên tục được xây dựng bởi Black Scholes và Merton vào năm 1973 .
2 : Mô hình định giá quyền chọn BLACK ... lienhe@docs.vn Tel : 0918.775.368
Chẳng hạn như xét mô hình trong trường hợp có cổ tức .
2.2:Công thức BLACK SCHOLES.
Định giá quyền chọn kiểu Âu về cổ phiếu .
2.2.1Trường hợp không có cổ tức .
c =
*
S
.N(d1) ... sự
biến động lớn để có thu nhập từ chệch giá (Áp dụng cho thị trường hiêu
quả).
f.Mô hình Black Scholes có thể được mở rộng với việc giảm nhẹ các
giả thuyết .
Website: http://www.docs.vn Email...
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The Black Scholes Model
Ngày tải lên :
25/10/2013, 19:20
... equation (5.1), the Black Scholes formula.
5.4 GREEKS FOR THE BLACK SCHOLES MODEL
(i) Some Useful Differentials: The Black Scholes model gives specific analytical formulas for
the prices of European put ... clear understanding of the concepts and notation of para-
graph (iii) of the last section.
now maturity of
forward/
futures
0
time t
T
t
maturity
of option
t
(ii) The payoff of an option on a ... simple stock. Compare the following three
European call options maturing in time τ :
r
Options on the Underlying Stock Price: the contract is an option to buy one share of stock
at a price X.
Payoff...
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Tài liệu Bài 5: Định giá quyền chọn bằng mô hình Black-Scholes pptx
Ngày tải lên :
25/01/2014, 11:20
...
thời gian liên tục.
Mô hình Black- Scholes đã sử dụng khuôn khổ mô hình
thời gian liên tục để định giá quyền chọn.
CÔNG THỨC ĐOẠT GIẢI NOBEL
Sử dụng cơng thức Black- Scholes để định giá một quyền ... tục.
R
c
= ln(1,0456) = 4,46.
CÁC BIẾN SỐ TRONG MÔ HÌNH
B-S
GIẢ ĐỊNH CỦA MÔ HÌNH BLACK -
SCHOLES
Giá cổ phiếu biến động ngẫu nhiên và phát triển theo phân
phối logarit chuẩn.
Lãi ... cao hơn giá
trị đạt được trước đây là $13,55.
Bài 5: Định giá quyền
chọn bằng mô hình
Black- Scholes
QUẢN TRỊ RỦI RO TÀI CHÍNH
QUẢN TRỊ RỦI RO TÀI CHÍNH
CÁC BIẾN SỐ TRONG MÔ HÌNH
B-S
Giá...
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Tài liệu Accounting Practices and the Market Valuation of Accounting Numbers: Evidence from Indonesia, Korea, Malaysia, the Philippines, Taiwan, and Thailand doc
Ngày tải lên :
17/02/2014, 09:20
... e
it
2
where Price
it
is the stock price per share of firm i at the end of year t, BVPS
it
is the book
value of shareholders' equity of firm i at the end of year t, REPS
it
is the residual ... Price
it
is the price per share of firm i at the end of period t, BVPS
it
is the book value
per share of firm i at the end of period t, and RE
it
is the residual earnings per share of firm i
for year t ... Accounting Profession in Korea. New
York: American Institute of Certified Public Accountants.
American Institute of Certified Public Accountants. 1992. The Accounting Profession in Taiwan,
Republic of...
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Tài liệu Human Resource Management and Army Recruiting - Analyses of Policy Options pdf
Ngày tải lên :
17/02/2014, 22:20
... Region
23
2.6. Importance of Groups of Variables in Predicting Individual
Recruiter Production of High-Quality Contracts
25
2.7. Explanatory Power of Alternative Models of High-Quality
Contract ... Determinants of Achieving Station Missions 31
e Station Production Data
34
Logistic Regressions of Making Regular Army Missions
41
Equity of Missions
48
Reserve Missions and Equity
54
Performance Evaluation ... points for succeeding in making mission or “boxing.”
13
Accrual
of specified numbers of points over the course of specified numbers
of months leads to command-level awards such as stars, badges,...
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Valuation of Convertible Bonds pptx
Ngày tải lên :
06/03/2014, 08:20
... contracts of European-style. The coupon rate of a mandatory convertible bond
is usually higher than the dividend rate of the stock. At maturity it converts mandatorily
into a number of stocks if the stock ... 82
7.3.1 Change of measure . . . . . . . . . . . . . . . . . . . . . . . . . . . 82
7.3.2 Valuation of coupons . . . . . . . . . . . . . . . . . . . . . . . . . . 84
7.3.3 Valuation of terminal payment ... maximize the value of the
bond by means of optimal exercise of the conversion right. The incentive of the issuer to
call a bond is to limit the bondholder’s participation in rising stock prices. The...
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ON THE VALUATION OF CORPORATE BONDS pot
Ngày tải lên :
06/03/2014, 08:20
... 0.1393 0.1589 0.1784 0.1976
41
Bibliography
F. Black and M. Scholes (1973). “The Pricing of Options and Corporate Liabilities.” Journal of
Political Economy 81: 637-654.
S. Das (1999). “Pricing ... to a fraction of the market value of an equal maturity corporate bond in the same
risk class plus the same fraction of the coupon, then the risk-neutral valuation gives the same
valuation as discounting ... two versions of rating-based models which have been
advocated in the literature of Financial Economics and to a comparison of the bond valuations
they produce. The simplest version of a rating-based...
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Research " Essays on the Equilibrium Valuation of IPOs and Bonds " pdf
Ngày tải lên :
07/03/2014, 02:20
... satisfaction of the
requirements for the degree of
Doctor of Philosophy
in
Business Administration
in the
GRADUATE DIVISION
of the
UNIVERSITY of CALIFORNIA at BERKELEY
Committee in charge:
Professor ... a
pioneer of the World Wide Web browser, threatened to topple the domination of Microsoft in the software
market for personal computers and network computers. Amazon.com, the pioneer of online ... returns.
Essays on the Equilibrium Valuation of IPOs and Bonds
by
Kehong Wen
B.S.(University of Science and Technology of China) 1987
Ph.D. (The University of Texas at Austin) 1993
A dissertation...
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