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| Author: | Steiner, P. |
| Title: | Wertgrenzen bei geschützten Kaufoptionen. |
| Journal: | Zeitschrift für Betriebswirtschaft
1988 : MAR, VOL. 58:3, p. 373-380 |
| Index terms: | CALL OPTIONS BANKING CAPITAL MARKETS CAPITAL THEORY |
| Language: | ger |
| Abstract: | Over-The-Counter (OTC) protected call options are analyzed. It can be shown that the OTC adjustment offers only perfect protection against early exercise but the OTC-protection decreases the value of a call option. Since there are no closed form solutions for valuing the OTC-protected call option only upper and lower bounds are derived without assuming a specific distribution of the stock returns. But the bounds are in such a manner that they can be evaluated with traditional option pricing formulas and are within a small range for practical purposes. For the upper bound a European Call Option with no pay-outs during the maturity of the call has to be evaluated. |
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