Stock options as barrier contingent claims

DOI10.1080/1350486032000088921zbMATH Open1061.91026OpenAlexW3124174141MaRDI QIDQ4457071FDOQ4457071

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

Recommendations

• Two extensions to barrier option valuation
• Employee stock options: an up-and-out protected barrier call
• Barrier option pricing when parameters dependent on stock price
• Option pricing when underlying stock returns are discontinuous
• scientific article; zbMATH DE number 6137478

zbMATH Keywords

corporate securities

Mathematics Subject Classification ID

Cited In (8)

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

This page was built for publication: Stock options as barrier contingent claims

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4457071)