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Underlying Stock Price (underlying + stock_price)
Selected AbstractsPROPERTIES OF OPTION PRICES IN MODELS WITH JUMPSMATHEMATICAL FINANCE, Issue 3 2007Erik Ekström We study convexity and monotonicity properties of option prices in a model with jumps using the fact that these prices satisfy certain parabolic integro,differential equations. Conditions are provided under which preservation of convexity holds, i.e., under which the value, calculated under a chosen martingale measure, of an option with a convex contract function is convex as a function of the underlying stock price. The preservation of convexity is then used to derive monotonicity properties of the option value with respect to the different parameters of the model, such as the volatility, the jump size, and the jump intensity. [source] Clearly Irrational Financial Market Behavior: Evidence from the Early Exercise of Exchange Traded Stock OptionsTHE JOURNAL OF FINANCE, Issue 1 2003Allen M. Poteshman This paper analyzes the early exercise of exchange-traded options by different classes of investors over the 1996 to 1999 period. A large number of exercises are identified as clearly irrational without invoking any model of market equilibrium. Customers of discount brokers and customers of full-service brokers both engage in a significant number of irrational exercises while traders at large investment houses exhibit no irrational early exercise behavior. Rational and irrational exercise is triggered for discount and full-service customers by the underlying stock price attaining its highest level over the past year and by high returns on the underlying stock. [source] Knock-in American optionsTHE JOURNAL OF FUTURES MARKETS, Issue 2 2004Min Dai A knock-in American option under a trigger clause is an option contract in which the option holder receives an American option conditional on the underlying stock price breaching a certain trigger level (also called barrier level). We present analytic valuation formulas for knock-in American options under the Black-Scholes pricing framework. The price formulas possess different analytic representations, depending on the relation between the trigger stock price level and the critical stock price of the underlying American option. We also performed numerical valuation of several knock-in American options to illustrate the efficacy of the price formulas. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:179,192, 2004 [source] The Effect of Options on Stock Prices: 1973 to 1995THE JOURNAL OF FINANCE, Issue 1 2000Sorin M. Sorescu I show that the effect of option introductions on underlying stock prices is best described by a two-regime switching means model whose optimal switch date occurs in 1981. In accordance with previous studies, I find positive abnormal returns for options listed during 1973 to 1980. By contrast, I find negative abnormal returns for options listed in 1981 and later. Possible causes for this switch include the introduction of index options in 1982, the implementation of regulatory changes in 1981, and the possibility that options expedite the dissemination of negative information. [source] | ||||||||||