Search Results - subject:"embedded options"

Valuation of contractual assets using statistical simulation

Vlachý, Jan - In: Contemporary Economics 10 (2016) 2, pp. 153-162

path dependency of the problem, Monte Carlo is an appropriate and practical tool for analyzing embedded options, incident …

Persistent link: https://www.econbiz.de/10011659882

Pricing options embedded in debentures with credit risk

Almeida, Caio; Pereira, Leonardo - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 1, pp. 21-42

Persistent link: https://www.econbiz.de/10011538968

Valuation of contractual assets using statistical simulation

Vlachý, Jan - In: Contemporary economics 10 (2016) 2, pp. 153-162

path dependency of the problem, Monte Carlo is an appropriate and practical tool for analyzing embedded options, incident …

Persistent link: https://www.econbiz.de/10011515817

Callable and Puttable Bond Valuation and Embedded Call and Put Option on Bond Cash Flow

Brada, Jaroslav - In: Český finanční a účetní časopis 2012 (2012) 3, pp. 52-60

The article describes the valuation of callable and puttable bonds without the need for treatment based on modeling of interest rates movement and without using of binomial or Black-Scholes option pricing model, using only the functions min and max. This paper also demonstrates how to calculate...

Persistent link: https://www.econbiz.de/10011194816

General option exercise rules, with applications to embedded options and monopolistic expansion

Boyarchenko, Svetlana; Levendorskii, Sergei - Society for Economic Dynamics - SED - 2006

/disinvestment problems (sequences of embedded options, which we call Russian dolls), and study two models of expansion of a monopoly. In the …

Persistent link: https://www.econbiz.de/10005069272

Callable Risky Perpetual Debt: Options, Pricing And Bankruptcy Implications

Mjøs, Aksel; Persson, Svein-Arne - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2005

Issuances of perpetual risky debt are often motivated by capital requirements for financial institutions. However, observed market practice indicates that actual maturity equals first possible call date. We analyze callable risky perpetual debt including an initial protection period before the...

Persistent link: https://www.econbiz.de/10005190558

Practical guide to real options in discrete time

Levendorskiy, Sergey; Boyarchenko, Svetlana - Society for Computational Economics - SCE - 2004

, computationally simple approach to real options in discrete time. Explicit formulas are derived even for embedded options. Discrete …

Persistent link: https://www.econbiz.de/10005706514

Start-ups Defined as Portfolios of Embedded Options

BOTTERON, Pascal; CASANOVA, Jean-François - Swiss Finance Institute - 2003

-ups Defined as Portfolios of Embedded Options Pascal Botteron ∗ Jean-François Casanova ∗∗ First draft: January 2000 … responsi- bility for errors. Start-up Defined as a Portfolio of Embedded Options Abstract In this paper we show …. Keywords: real options, staged investments, structured products, embedded options. JEL classification: G12, G30, G31, G32 …

Persistent link: https://www.econbiz.de/10005771817