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Exercise Value of Option

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  • Bài giảng Chapter 8: Financial options and their valuation presents of Financial options, Black-Scholes Option Pricing Model. It helps you learn better.

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  • CHAPTER TWENTY-ONE VALUING OPTIONS In the last chapter we introduced you to call and put options. Call options give the owner the right to buy an asset at a specified exercise price; put options give the right to sell. We also took the first step toward understanding how options are valued.

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  • In Financial Economics, many researchers have studied option prices, because these derivatives contain unique information that is not available from the prices of other financial instruments. A call option gives the buyer the right to purchase in the future a certain asset at a price fixed today. The value of such an option is determined by the distance between the current stock price and the exercise price. When market participants price option contracts in the course of trading, they use forecasts of the probability of different asset prices for the period until the derivative expires.

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  • The value of an option depends on six inputs: The riskless rate of interest (r), the price of the underlying security (S), the exercise price of the option (X), the time remaining until the option expires (T-t), the rate of dividend payment of the underlying (d) and the volatility of the underlying                 Liquidity or simply, the amount of cash available in the system impacts the fixed income instruments. If there is surplus cash in the system, the borrowers would easily find lenders to satisfy their credit requirements.

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  • We value stock options based on the Black-Scholes (1973) formula for valuing European call options, as modified by Merton (1973). 5 To construct a measure of the total stock option holdings of each CEO at a given point in time, we use proxy data on stock option grants, gains from exercising stock options, and the total number of stock options held by the CEO. Annual proxies contain information on options granted during the preceding fiscal year, including the number, duration, and exercise price of the options.

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  • Convertible bonds can be difficult to value, given their hybrid nature of containing elements of both debt and equity. Further complications arise due to the frequent presence of additional options such as callability and puttability, and contractual complexities such as trigger prices and “soft call” provisions, in which the ability of the issuing firm to exercise its option to call is dependent upon the history of its stock price.

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  • There are three characteristics of the data that complicate this procedure. First, CEOs often hold options that they received before they became CEO. Second, the exercise price is sometimes missing. Third, the proxies report option gains as a dollar value, so it is impossible to determine exactly which options were sold in a given year. We are helped, however, by the fact that proxies sometimes contain information on the total number of options held by the CEO (or alternatively the total number of vested options held by the CEO).

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  • The aim is to strengthen clinical research in Europe in a number of areas with unmet medical needs. Specific actions under clinical trials listed in this work programme (especially under investigator-driven clinical trials) will have a major European added value into translating research to clinical practice. The objective is increasing therapeutic options for patients, stimulating the implementation of best practice in all Member States (MS) and in establishing the basis for a coherent programme addressing the issue of personalized medicine and improved therapeutic outcomes.

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