Firm valuation and default probability through exotic (barrier) options
نویسندگان
چکیده
منابع مشابه
Valuation of exotic options under shortselling constraints
Options with discontinuous payoffs are generally traded above their theoretical Black–Scholes prices because of the hedging difficulties created by their large delta and gamma values. A theoretical method for pricing these options is to constrain the hedging portfolio and incorporate this constraint into the pricing by computing the smallest initial capital which permits superreplication of the...
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ژورنال
عنوان ژورنال: European Accounting and Management Review
سال: 2016
ISSN: 2385-3921
DOI: 10.26595/eamr.2014.2.2.4