Option pricing approaches have been applied to the valuation of corporate equity or debt, convertible securities, underwriting problems as well as to the analysis of capital invest- ment involving growth opportunities and project financing problems. The option element in revolv- ing credit arrangements...
probability measure ambiguitypricing kernelequivalent martingale measurecall-put parityambiguity premiumvolatility smileThis paper develops an option pricing model that admits probability measure ambiguity. It formulates a piecewise risk-ambiguity-neutral probability density funcLiu, Yu...
This paper proposes an option pricing model, extended from the GARCH option pricing model of Duan (1995) and the Threshold-GARCH model of Hardle and Hafner (2000). Some moment properties of the proposed model are analytically proven. For simplicity or flexibility, the risk-free rate of return...
This study develops an option pricing model to evaluate the trade-off relationship between the hire rates and the exercise prices of purchase options. Numerical analysis is conducted using four input variables namely the spot ship prices, the volatility of the spot ship prices, the time to ...
I think a great example of a competitive pricing model is Amazon. The company uses automated repricing tools that constantly monitor competitor prices and adjust their prices accordingly. This strategy ensures Amazon’s prices are always competitive, often making them the lowest-priced option in the...
The binomial model provides a multi-period view of the underlying asset price as well as the price of the option. In contrast to the Black-Scholes model, which provides a numerical result based on inputs, the binomial model allows for the calculation of the asset and the option for multiple...
Blanchet, Gallego, and Goyal (2016) propose a choice model where the customer’s choice process is represented by a Markov chain having J+1 states, each corresponding to a product j∈J or to the non-purchase option. Let νi be the arrival probability at state i. A customer arriving at...
If an underwriter oversells an offering, which afterwards drops in price, then the underwriter can buy additional shares in the secondary market at a price at or below the offering price, rather than exercise its over-allotment option to buy additional securities from the issuer. This has the ...
This article provides an overview of the instance pool deployment option for Azure SQL Managed Instance, which brings substantial cost saving benefits to customers. Instance pools make it possible to deploy multiple instances with shared resources, which provide a convenient and cost-effective infrastruct...
(ATM) put option. If the market started to correct, then we would naturally benefit from the downside move as the option would be further in-the-money (ITM). However, we would also benefit from the increase in implied volatility (higher probability of a larger payoff – assuming the put ...