A Game Theory Analysis of Options
| Author | : | |
| Rating | : | 4.60 (578 Votes) |
| Asin | : | 354020668X |
| Format Type | : | paperback |
| Number of Pages | : | 174 Pages |
| Publish Date | : | 2013-09-14 |
| Language | : | English |
DESCRIPTION:
e. This is the unique contribution of the thesis of Dr. e. Black, R. Benefiting from the analytical tractability of contin uous time models and the closed form valuation models for derivatives, Dr.. Over the years, option pricing has evolved from a set of specific models to a general analytical framework for analyzing the production process of financial contracts and their function in the financial intermediation process in a continuous time framework. In the second part of their paper, the authors demonstrated that a levered firm's equity can be regarded as an option on the value of the firm, and thus can be priced by option valuation techniques. A year later, Merton showed how the default risk structure of cor porate bonds can be determined by option pricing techniques. How ever, already