The valuation and behavior of black-scholes options subject to intertemporal default risk

1996 ◽  
Vol 1 (1) ◽  
pp. 25-59 ◽  
Author(s):  
Don Rich
Keyword(s):  
Default Risk ◽  
Black Scholes ◽  
And Behavior

A note on the Black-Scholes implied volatility with default risk

2010 ◽  
Vol 2 (3) ◽  
pp. 155-170 ◽  
Author(s):  
Shuichi Ohsaki ◽  
Takaaki Ozeki ◽  
Yuji Umezawa ◽  
Akira Yamazaki
Keyword(s):  
Default Risk ◽  
Implied Volatility ◽  
Black Scholes

Valuation of Covered Warrant Subject to Default Risk

2003 ◽  
Vol 06 (01) ◽  
pp. 21-44 ◽  
Author(s):  
Shen-Yuan Chen
Keyword(s):  
Default Risk ◽  
Market Price ◽  
Option Price ◽  
Option Value ◽  
Valuation Model ◽  
Black Scholes ◽  
Covered Warrant ◽  
The Difference ◽  
Vulnerable Option ◽  
Settlement Mechanism

There is no margin settlement mechanism for existing covered warrants in Taiwan, thus the credit risk of the warrant issuer must be considered when investors evaluate the price of a covered warrant. This paper applies the vulnerable option valuation model to empirically study the difference in the theoretical value of a vulnerable warrant, Black–Scholes option price and the market price of warrant by using the Taiwan warrant data. Empirical results show that the theoretical value of a vulnerable warrant is lower than the Black–Scholes non-vulnerable option value and its market value.

scholarly journals Measuring credit risk in family firms

2020 ◽  
pp. 234094442094185
Author(s):  
Isabel Abinzano ◽  
Pilar Corredor ◽  
Beatriz Martinez
Keyword(s):  
Credit Risk ◽  
Default Risk ◽  
Family Firms ◽  
Risk Measure ◽  
Jel Classification ◽  
Z Score ◽  
Market Data ◽  
Black Scholes ◽  
Best Fit ◽  
Practical Implications

This article attempts to identify the default risk measure which best reflects the idiosyncratic context of public family firms. Seven accounting- and market-based measures are compared over a sample of 981 US family and non-family firms for the period 2000–2016. The results show that the Black–Scholes–Merton (BSM) measure gives the best fit in both types of firm. However, all the accounting-based measures, especially Altman’s Z-score, come closest to the market-based measures when used to assess the credit risk of family firms. The two types of measures also coincide more closely in their default risk orderings of family than of non-family firms. Useful practical implications can be drawn from these findings, which show that accounting-based measures can be used reliably in the absence of market data for family firms with similar characteristics to those in our sample. JEL CLASSIFICATION: G32; G33; G13; C52; M21; M41

scholarly journals PENGUKURAN PROBABILITAS KEBANGKRUTAN OBLIGASI KORPORASI DENGAN SUKU BUNGA COX INGERSOLL ROSS MODEL MERTON (Studi Kasus Obligasi PT Indosat, Tbk)

2018 ◽  
Vol 7 (2) ◽  
pp. 175-186
Author(s):  
Muhammad Akhir Siregar ◽  
Mustafid Mustafid ◽  
Rukun Santoso
Keyword(s):  
Interest Rates ◽  
Default Risk ◽  
Structural Method ◽  
Probability Of Default ◽  
Due Date ◽  
Merton Model ◽  
Black Scholes ◽  
The Many ◽  
Investment Grade

Nowadays bonds become one of the many securities products that are being prefered by investors. Observing the level of the company's rating which good enough or in the criteria of investment grade can’t be a handle of investors. Investing in long-term period investors should understand the risks to be faced, one of investment credit risk on bonds is default risk, this risk is related to the possibility that the issuer fails to fulfill its obligations to the investor in due date. The measurement of the probability of default failure by the structural method approach introduced first by Black-Scholes (1973) than developed by Merton (1974).  In Bankruptcy model, merton’s model assumed the company get default (bankrupt) when the company can’t pay the coupon or face value in the due date. Interest rates on the Merton model assumed to be constant values replaced by Cox Ingersoll Ross (CIR) rates. The CIR rate is the fluctuating interest rate in each period and the change is a stochastic process. The empirical study was conducted on PT Indosat, Tbk's bonds issued in 2017 with a face value of 511 Billion in payment of obligations by the issuer for 10 years. Based on simulation results done with R software obtained probability of default value equal to 7,416132E-215 Indicates that PT Indosat Tbk is deemed to be able to fulfill its obligation payment at the end of the bond maturity in 2027. Keywords: Bond, CIR Rate, Merton Model, Ekuity, Probability of default

scholarly journals A Comparative Study of Pricing Option with Efficient Methods

2021 ◽  
pp. 1-7
Author(s):  
Sujon Chandra Sutradhar ◽  
ABM Shahadat Hossain
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Stock Price ◽  
Computer Algebra System ◽  
Numerical Technique ◽  
Science And Engineering ◽  
Merton Model ◽  
Pricing Options ◽  
Black Scholes ◽  
And Behavior

Our main objective of this paper is to introduce four individual techniques of pricing options; the techniques are Binomial method, Trinomial method, Monte Carlo simulation and Black-Scholes-Merton model. Because they play a significant role in option valuation of stock price dynamics, risk managements as well as stock market. In this paper, we briefly discuss all these four methods with their properties and behavior. We also focused on numerical technique for the higher accuracy of option pricing and compare them graphically. We use the Computer Algebra System (CAS) Python (Edition 2019.3.1) for this purpose. GUB JOURNAL OF SCIENCE AND ENGINEERING, Vol 7, Dec 2020 P 1-7

How Homo economicus lost her mind and how we can revive her

2018 ◽  
Vol 41 ◽  
Author(s):  
Peter DeScioli
Keyword(s):  
Economic Thought ◽  
History Of Economic Thought ◽  
Homo Economicus ◽  
Economic Theories ◽  
Target Article ◽  
History Of ◽  
The Mind ◽  
And Behavior

AbstractThe target article by Boyer & Petersen (B&P) contributes a vital message: that people have folk economic theories that shape their thoughts and behavior in the marketplace. This message is all the more important because, in the history of economic thought, Homo economicus was increasingly stripped of mental capacities. Intuitive theories can help restore the mind of Homo economicus.

The parent-offspring microbiome and neurobehavioral development

2019 ◽  
Vol 42 ◽  
Author(s):  
Jeffrey R. Alberts ◽  
Christopher Harshaw ◽  
Gregory E. Demas ◽  
Cara L. Wellman ◽  
Ardythe L. Morrow
Keyword(s):  
Mammalian Species ◽  
Social Emotional ◽  
Behavioral Measures ◽  
Neurobehavioral Development ◽  
Emotional Function ◽  
Neurobehavioral Outcomes ◽  
Methodological Approaches ◽  
And Behavior

Abstract We identify the significance and typical requirements of developmental analyses of the microbiome-gut-brain (MGB) in parents, offspring, and parent-offspring relations, which have particular importance for neurobehavioral outcomes in mammalian species, including humans. We call for a focus on behavioral measures of social-emotional function. Methodological approaches to interpreting relations between the microbiota and behavior are discussed.

TEM evaluation of graded SixGe1-x heterolayers

1991 ◽  
Vol 49 ◽  
pp. 894-895
Author(s):  
N. David Theodore ◽  
Mamoru Tomozane ◽  
Ming Liaw
Keyword(s):  
Heterojunction Bipolar Transistors ◽  
Gas Flow ◽  
Field Effect Transistors ◽  
Chemical Vapor ◽  
Dark Field ◽  
Bipolar Transistors ◽  
Structural Quality ◽  
Weak Beam ◽  
Transmission Electron ◽  
And Behavior

There is extensive interest in SiGe for use in heterojunction bipolar transistors. SiGe/Si superlattices are also of interest because of their potential for use in infrared detectors and field-effect transistors. The processing required for these materials is quite compatible with existing silicon technology. However, before SiGe can be used extensively for devices, there is a need to understand and then control the origin and behavior of defects in the materials. The present study was aimed at investigating the structural quality of, and the behavior of defects in, graded SiGe layers grown by chemical vapor deposition (CVD).The structures investigated in this study consisted of Si1-xGex[x=0.16]/Si1-xGex[x= 0.14, 0.13, 0.12, 0.10, 0.09, 0.07, 0.05, 0.04, 0.005, 0]/epi-Si/substrate heterolayers grown by CVD. The Si1-xGex layers were isochronally grown [t = 0.4 minutes per layer], with gas-flow rates being adjusted to control composition. Cross-section TEM specimens were prepared in the 110 geometry. These were then analyzed using two-beam bright-field, dark-field and weak-beam images. A JEOL JEM 200CX transmission electron microscope was used, operating at 200 kV.

Formation of defects in implanted hipox-structures

1992 ◽  
Vol 50 (2) ◽  
pp. 1406-1407
Author(s):  
Peter Pegler ◽  
N. David Theodore ◽  
Ming Pan
Keyword(s):  
High Pressure ◽  
Cross Section ◽  
Semiconductor Devices ◽  
Silicon Substrates ◽  
Processing Conditions ◽  
Pressure Oxidation ◽  
Deep Trench ◽  
Local Oxidation ◽  
Trench Isolation ◽  
And Behavior

High-pressure oxidation of silicon (HIPOX) is one of various techniques used for electrical-isolation of semiconductor-devices on silicon substrates. Other techniques have included local-oxidation of silicon (LOCOS), poly-buffered LOCOS, deep-trench isolation and separation of silicon by implanted oxygen (SIMOX). Reliable use of HIPOX for device-isolation requires an understanding of the behavior of the materials and structures being used and their interactions under different processing conditions. The effect of HIPOX-related stresses in the structures is of interest because structuraldefects, if formed, could electrically degrade devices.This investigation was performed to study the origin and behavior of defects in recessed HIPOX (RHIPOX) structures. The structures were exposed to a boron implant. Samples consisted of (i) RHlPOX'ed strip exposed to a boron implant, (ii) recessed strip prior to HIPOX, but exposed to a boron implant, (iii) test-pad prior to HIPOX, (iv) HIPOX'ed region away from R-HIPOX edge. Cross-section TEM specimens were prepared in the <110> substrate-geometry.

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