Stock options as barrier contingent claims

DOI10.1080/1350486032000088921MaRDI QIDQ4457071zbMATH OpenOpenAlexFDO

Authors Jan Ericsson, Joel Reneby

Publication date 21 March 2004

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL http://swopec.hhs.se/hastef/papers/hastef0137.pdf

zbMATH Keywords

corporate securities

Mathematics Subject Classification ID

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(8)

• Financial jeopardy
• Pricing options on leveraged equity with default risk and exponentially increasing, finite maturity debt
• A capital structure when stock options are issued
• Variable purchase options
• A comprehensive structural model for defaultable fixed-income bonds
• Outside barrier lookback options with floating strike
• Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate
• Dilution, anti-dilution and corporate positions in options on the company's own stocks

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