haku: @author Naslund, B. / yhteensä: 5
viite: 2 / 5
| Tekijä: | Jennergren, L. Naslund, B. |
| Otsikko: | A class of options with stochastic lives and an extention of the Black-Scholes formula |
| Lehti: | European Journal of Operational Research
1996 : JUN 7, VOL. 91:2, p. 229-234 |
| Asiasana: | MANAGEMENT FINANCE OPTION PRICES |
| Kieli: | eng |
| Tiivistelmä: | Certain options have a fixed date of maturity but may be cancelled prematurely. This can happen for a stock option in case of a merger or for an executive stock option in case the executive leaves his/her present job. The differential equation is given which governs the value of an option with a stochastic life. Solutions can be obtained through integration in certain cases. The main result is an extension of the Black-Scholes formula to options where the time to expiration is stochastic, states the author. |
SCIMA