'Call price' diaporamas de présentation

The Greek Letters

The Greek Letters. Pricing Options. Both the Binomial Tree Approach and the Black Scholes approach produce the same option value as the number of steps in the Binomial tree becomes large.

1.34k views • 112 slides

OPTION PRICING MODEL

OPTION PRICING MODEL. Black-Scholes (BS) OPM. Cox, Ross, and Rubinstien Binomial Option Pricing Model: BOPM. BOPM. Model is based on constructing a replicating portfolio (RP). The RP is a portfolio whose cash flows match the cash flows of a call option.

1.14k views • 85 slides

OPTION PRICING MODEL

OPTION PRICING MODEL. Black-Scholes (BS) OPM. Cox, Ross, and Rubinstien Binomial Option Pricing Model: BOPM. BOPM. Model is based on constructing a replicating portfolio (RP). The RP is a portfolio whose cash flows match the cash flows of a call option.

1.04k views • 85 slides

CHAPTER 9

CHAPTER 9. Binomial Interest Rate Trees and the Valuation of Bonds with Embedded Options. Binomial Interest Rate Tree. The inclusion of option features in a bond contract makes the evaluation of such bonds more difficult.

1.11k views • 83 slides

Convertible Bonds with Call Notice Periods

Convertible Bonds with Call Notice Periods. SONAD 2003 Friday, May 2. Convertible Bonds with Notice Periods. Andreas Grau (agrau@uwaterloo.ca) Peter Forsyth (paforsyth@elora.uwaterloo.ca) Kenneth Vetzal (kvetzal@uwaterloo.ca). Goals.

908 views • 65 slides

BINOMIAL OPTION PRICING MODEL

BINOMIAL OPTION PRICING MODEL. Chapter 5 Cox, Ross, and Rubinstien Binomial Option Pricing Model: BOPM. BOPM. Model is based on constructing a replicating portfolio (RP). The RP is a portfolio whose cash flows match the cash flows of a call option.

849 views • 55 slides

Using Option Prices to Infer Overpayments and Synergies in M&A Transactions

Using Option Prices to Infer Overpayments and Synergies in M&A Transactions. Kate Barraclough, Vanderbilt University David Robertson, Duke University Tom Smith, UQ Business School Robert E. Whaley, Vanderbilt University. Overview.

401 views • 37 slides

Today

306 views • 30 slides

The Black-Scholes Model for Option Pricing - 2

The Black-Scholes Model for Option Pricing - 2. -Mahantesh Halappanavar -Meeting-3, 09-11-2007. The Black-Scholes Model: Basics. Assumptions:. No dividends are paid on the underlying stock during the life of the option. Option can only be exercised at expiry (European style).

500 views • 28 slides

Advanced Finance 2006-2007 Warrants-Convertible bonds

224 views • 22 slides

Genzyme Corporation: Financing Strategy

Genzyme Corporation: Financing Strategy. Financing Strategy. Planning for an entire program of investments and financing (rather than isolated transactions) How does the nature of the business and the investments condition the types of financing instruments used?

191 views • 19 slides

Chapter 18: Options Basics

Chapter 18: Options Basics. Corporate Finance, 3e Graham, Smart, and Megginson. Options and other derivative securities have several important economic functions:. Can help align managerial interests with those of shareholders Help bring about more efficient allocation of risk

301 views • 15 slides

On a Bull/Bear Contract Call Signal Based Trading Strategy

On a Bull/Bear Contract Call Signal Based Trading Strategy. Callable Bull / Bear Contracts (CBBC). Barrier options with fixed expiry dates, allowing investors to take bullish or bearish positions on the underlying asset.

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Concept of Valuation

271 views • 13 slides

Callable Bonds and Valuation

A callable bond is a bond in which the issuer has the right to call the bond at specified times from the investor for a specified price. At each callable date prior to the bond maturity, the issuer may recall the bond from its investor by returning the investor’s money. The underlying bonds can be fixed rate bonds or floating rate bonds. A callable bond can therefore be considered a vanilla underlying bond with an embedded Bermudan style option. Callable bonds protect issuers. Therefore, a callable bond normally pays the investor a higher coupon than a non-callable bond. This presentation gives an overview of callable bond and valuation model. You can find more information at http://www.finpricing.com/lib/FiCallableBond.html

205 views • 13 slides

Financial Derivatives: Arundel Partners: The Sequel Project

Financial Derivatives: Arundel Partners: The Sequel Project. Boris Agababov Ekaterina Kouznetsova Alexander Nagornov Alexander Parkhomenko. Introduction of Arundel Sequel Project. Innovative idea: purchase sequel rights for films produced by one or more major U.S. movie studios

2.79k views • 12 slides