haku: @journal_id 101 / yhteensä: 1491
viite: 262 / 1491
| Tekijä: | Fischer, E.O. Keber, C. |
| Otsikko: | Die Bewertung von Optionen auf Aktien mit Konkursrisiko |
| Lehti: | Zeitschrift für Betriebswirtschaft
1999 : VOL. 69:12, p. 1373-1393 |
| Asiasana: | STOCK OPTIONS PRICING SHARE PRICES STOCK WARRANTS |
| Kieli: | ger |
| Tiivistelmä: | Since the seminal papers of Black/scholes and Merton on the pricing of Stock options many authors have assumed that the underlying stock price follows a geometric Brownian motion. Therefore, these pricing models implicitly assume that the stock price cannot become zero, which means that the stock issuing firm cannot go bankrupt. Since the time to maturity of many stock warrants is very often several years we think it is necessary to consider the possibility of default in pricing models for options with long maturities. In this paper we derive and analyse models for European calls and puts on stocks with default risk. Furthermore, we compare our results with the results of the traditional Black/Scholes-Merton models and find substantial differences to reasonable parameter values. |
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