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The Implied Distribution for Stocks of Companies with Warrants and/or Executive Stock Options
Warrants executive stock options value of the firm risk-neutral
2010/9/7
This paper sets out to provide a risk-management tool (namely the distribution of the stock price of a warrantissuing firm) and at the same time resolves an outstanding issue between the theory and th...
Law of the exponential functional of one-sided Lévy processes and Asian options
L´ evy processes exponential functional special functions
2010/11/1
The purpose of this note is to describe, in terms of a power series, the distribution function
of the exponential functional, taken at some independent exponential time, of a spectrally negative L&ac...
Binomial Lattices for Barrier Options
Barrier option binomial tree convergence rate transition probability
2010/9/7
In the existing literature on barrier options, much effort has been exerted to ensure convergence through placing the barrier in close proximity to, or directly onto, the nodes of the tree lattice. In...