论文信息 - The Valuation of Sequential Exchange Opportunities

The Valuation of Sequential Exchange Opportunities

Sequential exchange opportunities are valued using the techniques o f modern option pricing theory. The vehicle for analysis is the concept of a compound exchange option. This security is shown to exist implicitly in several contractual settings. A valuation formula for this option is derived. The formula is shown to generalize much previous work in option pricing. Several applications of the formula are presented. Copyright 1988 by American Finance Association.

Peter Carr | P. Carr

[1] S. Fischer. CALL OPTION PRICING WHEN THE EXERCISE PRICE IS UNCERTAIN, AND THE VALUATION OF INDEX BONDS , 1978 .

[2] R. McDonald,et al. The Value of Waiting to Invest , 1982 .

[3] H. Johnson,et al. The American Put Option Valued Analytically , 1984 .

[4] R. Geske. THE VALUATION OF COMPOUND OPTIONS , 1979 .

[5] R. Geske. The Valuation of Corporate Liabilities as Compound Options , 1977, Journal of Financial and Quantitative Analysis.

[6] R. Roll,et al. An analytic valuation formula for unprotected American call options on stocks with known dividends , 1977 .

[7] R. McDonald,et al. Investment and the Valuation of Firms When There Is an Option to Shut Down , 1985 .

[8] William Margrabe. The Value of an Option to Exchange One Asset for Another , 1978 .

[9] F. Black,et al. The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.