search query: @author Kempf, A. / total: 8
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| Author: | Bühler, W. Kempf, A. |
| Title: | Optionsbewertung bei endogenem Preis des Basisinstruments: Der Fall der Glattstellungsoption |
| Journal: | Schmalenbachs Zeitschrift für Betriebswirtschaftliche Forschung
1998 : VOL. 50:5, p. 411-435 |
| Index terms: | PRICE THEORY OPTION VALUATION OPTION PRICES |
| Language: | ger |
| Abstract: | It has been reported in numerous empirical studies that trading in options or the exercising of options influences the price of the underlying and as a consequence the value of the option. The tradional option pricing theory does not take into account this interaction. In this paper, we propose a model where the price of the underlying is adversely affected when the option is exercised. Thus, there is a bidirectional relation between the prices of the option and the underlying. Based on this model, we analyze the effect of exercising an option on the option value. |
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