S-WoPEc
 
Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 137:
Stock Options as Barrier Contingent Claims

Jan Ericsson () and Joel Reneby ()

Abstract: This paper contributes in two ways. First it extends the Geske (1979) compound option pricing model to the case where the underlying call is a down-and-out claim. Second it provides an internally consistent frame-work for valuing options on general corporate securities. Numerical results suggest that the detailed characteristics of the underlying capital structure (such as coupons, principal and maturities) may substantially influence the pricing of options.

Keywords: Compound barrier contingent claims; option pricing; (follow links to similar papers)

JEL-Codes: G13; (follow links to similar papers)

38 pages, November 1996, Revised September 2002

Before downloading any of the electronic versions below you should read our statement on copyright.
Download GhostScript for viewing Postscript files and the Acrobat Reader for viewing and printing pdf files.

Full text versions of the paper:

hastef0137.pdf    PDF-file (387kB) 
Download Statistics
This paper is published as:
Ericsson, Jan and Joel Reneby, (2003), 'Stock Options as Barrier Contingent Claims', Applied Mathematical Finance, pages 121-147



Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:hastef:0137 This page was generated on 2014-12-14 19:22:51