Credit risk, capital structure, and the pricing of equity options:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Wien ; New York
Springer
2003
|
| Ausgabe: | 1. Aufl. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVI, 208 S. graph. Darst. |
| ISBN: | 321100520X |
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| 100 | 1 | |a Hanke, Michael |d 1973- |e Verfasser |0 (DE-588)138353581 |4 aut | |
| 245 | 1 | 0 | |a Credit risk, capital structure, and the pricing of equity options |c Michael Hanke |
| 250 | |a 1. Aufl. | ||
| 264 | 1 | |a Wien ; New York |b Springer |c 2003 | |
| 300 | |a XVI, 208 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 7 | |a Cours du marché |2 rasuqam | |
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| 650 | 7 | |a Modèle mathématique |2 rasuqam | |
| 650 | 7 | |a Optiehandel |2 gtt | |
| 650 | 7 | |a Prix de l'option |2 rasuqam | |
| 650 | 7 | |a Risque de crédit |2 rasuqam | |
| 650 | 7 | |a Stochastische modellen |2 gtt | |
| 650 | 7 | |a Structure du capital |2 rasuqam | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Options (Finance) -- Prices -- Mathematical models | |
| 650 | 4 | |a Credit -- Management -- Mathematical models | |
| 650 | 4 | |a Risk management -- Mathematical models | |
| 650 | 0 | 7 | |a Kreditrisiko |0 (DE-588)4114309-7 |2 gnd |9 rswk-swf |
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Datensatz im Suchindex
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| adam_text | Titel: Credit risk, capital structure and the pricing of equity options
Autor: Hanke, Michael
Jahr: 2003
Contents
List of Symbols xiv
1 Option Pricing with an Exogenous Stock Price Process 1
1.1 A One-Period Pricing Model ................. 1
1.1.1 Model Description................... 2
1.1.2 Replicating Portfolios................. 3
1.1.3 Absence of Arbitrage.................. 4
1.1.4 Risk-Neutral Valuation and Equivalent Martingale
Measures........................ 5
1.1.5 Numerical Example.................. 7
1.2 The Binomial Model...................... 9
1.2.1 Model Description................... 9
1.2.2 Replicating Portfolios................. 9
1.2.3 Absence of Arbitrage.................. 10
1.2.4 Martingale Measure.................. 11
1.2.5 Numerical Example .................. 11
1.3 The Black-Scholes-Merton Model .............. 13
1.3.1 Model Description................... 13
1.3.2 Replicating Portfolios................. 15
1.3.3 Absence of Arbitrage and Risk-Neutral Pricing ... 16
1.3.4 Measure-Independent Derivation of Probabilities . 18
1.3.5 Extension: Continuous Dividend Yield........ 21
2 Option Pricing with an Endogenous Stock Price Process 23
2.1 The Extended One-Period Option Pricing Model with
Endogenous Stock Price Process ............... 23
2.1.1 Model Description................... 23
2.1.2 Risk-Neutral Valuation of Corporate Securities ... 24
2.1.3 Risk-Neutral Valuation of Options.......... 25
2.1.4 Numerical Examples.................. 25
ix
2.2 The Extended Binomial Option Pricing Model with
Endogenous Stock Price Process ............... 26
2.2.1 Model Description................... 26
2.2.2 Risk-Neutral Valuation of Corporate Securities ... 27
2.2.3 Risk-Neutral Valuation of Options.......... 28
2.2.4 Numerical Examples.................. 28
2.3 The Extended Black-Scholes Model with Endogenous Stock
Price Process.......................... 31
2.3.1 Model Description................... 31
2.3.2 Risk-Neutral Valuation of Corporate Securities ... 31
2.3.2.1 Equity.................... 32
2.3.2.2 Corporate Bond............... 33
2.3.3 Risk-Neutral Valuation of Options.......... 33
2.3.4 Measure-Independent Derivation of Probabilities . 34
2.3.5 Numerical Examples.................. 35
3 Exotic Options 39
3.1 Non-Barrier Exotic Options.................. 39
3.2 Barrier Options......................... 40
3.2.1 Preliminaries...................... 41
3.2.2 Option Types and Barrier-Dependent Probabilities . 42
3.3 Applications: Barrier Heavisides, Calls and Puts ...... 49
3.3.1 Barrier Heavisides................... 49
3.3.2 Barrier Calls...................... 50
3.3.3 Barrier Puts ...................... 51
3.3.4 Relation to the Standard Approach.......... 52
3.4 Numerical Examples...................... 54
4 A Probabilistic, Firm Value Based Security Pricing
Framework 59
4.1 Ericsson and Reneby (1998).................. 59
4.1.1 Assumptions...................... 60
4.1.2 Valuation of the Building Blocks........... 61
4.1.3 Results ......................... 65
4.2 Ericsson and Reneby (2001).................. 69
4.3 Additional Building Blocks within the Probabilistic
Framework........................... 74
A Review of Firm Value Based Security Pricing Models
from a Probabilistic Perspective 91
5.1 Finite-Maturity Discount Bonds, No Intermediate Default
(Merton 1974).......................... 92
5.2 Finite-Maturity, Continuous-Coupon Bonds, Intermediate
Default (Black and Cox 1976)................. 92
5.3 Finite-Maturity, Discrete-Coupon Bonds, Intermediate De-
fault (Geske 1977) ....................... 94
5.4 Finite-Maturity, Convertible Discount Bonds, No Intermedi-
ate Default (Ingersoll 1977a).................. 95
5.4.1 Convertible Discount Bonds.............. 95
5.4.2 Callable Convertible Discount Bonds......... 96
5.5 Finite-Maturity, Discrete-Coupon Bonds, Intermediate De-
fault, Discrete Dividends, Taxes, Stochastic Interest Rates
(Brennan and Schwartz 1977,1978,1980)........... 98
5.6 Warrants (Galai and Schneller 1978)............. 99
5.7 Empirical Study of Firm Value Based Pricing of Corporate
Bonds (Jones, Mason and Rosenfeld 1984).......... 101
5.8 Finite-Maturity, Continuous-Coupon Bonds, Intermediate
Default, CIR Interest Rates (Kim, Ramaswamy and Sun-
daresan 1993).......................... 102
5.9 Finite-Maturity, Continuous-Coupon Bonds, Intermediate
Default, Vasicek Interest Rates (Longstaff and Schwartz
1995)............................... 103
5.10 Infinite-Maturity, Continuous-Coupon Bonds, Taxes, Inter-
mediate Default, Bankruptcy Costs (Leland 1994) ..... 104
5.11 Finite-Maturity, Continuous-Coupon Bonds, Taxes, Inter-
mediate Default, Bankruptcy Costs (Leland and Toft 1996) 107
5.12 Finite-Average-Maturity, Continuous-Coupon Bonds, Taxes,
Intermediate Default, Bankruptcy Costs, Costly Debt Is-
suance (Leland 1998)...................... 110
5.13 Model A : Finite-Maturity, Continuous-Coupon Bonds,
Exponentially Increasing Debt, Intermediate Default, Bank-
ruptcy Costs, Taxes, Deviations from Absolute Priority (Ex-
tended Leland and Toft).................... Ill
6 Extension of the Probabilistic Security Pricing
Framework to Derivative Securities 115
6.1 Ericsson and Reneby (1996).................. 115
6.1.1 Assumptions and Results............... 115
6.1.2 Correcting the Ericsson-Reneby (1996) Results ... 118
6.2 Reneby (1998) ......................... 121
6.3 Extending the Ericsson-Reneby (1996) Results....... 122
6.3.1 Lifting Assumptions.................. 122
6.3.2 Down-and-Out Underlyings Other than Calls or
Heavisides........................ 123
6.3.3 Put Options on Down-and-Out Underlyings..... 133
6.3.4 Underlyings of the Up-Barrier Type......... 134
7 Review of Firm Value Based Pricing Models for Equity
Derivatives from a Probabilistic Perspective 139
7.1 Option Pricing Extension of Merton (1974): Geske (1979) . 139
7.2 Option Pricing Extension of Leland (1994): Toft and Prucyk
? (1997).............................. 141
7.3 Option Pricing Extension of Galai and Schneller (1978): Hanke
and Potzelberger (2002).................... 143
8 Option Pricing Extensions for Several Classical
Capital Structure Models 147
8.1 Model 1: Option Pricing Extension of Black and Cox (1976) 147
8.2 Option Pricing Extensions of Ingersoll (1977a) ....... 149
8.2.1 Model 2: Convertible Discount Bonds........ 149
8.2.2 Model 3: Callable Convertible Discount Bonds ... 150
8.3 Model 4: Option Pricing Extension of Leland and Toft (1996) 150
8.4 Model 5: Option Pricing Extension of (a Restricted Version
of) Leland (1998)........................ 151
8.5 Model 6: Option Pricing Extension of Ericsson and Reneby
(2001).............................. 152
8.6 Model 7: Option Pricing Extension of Model A....... 153
9 Capital Structure Effects in Option Prices - The Static
Case 155
9.1 Pricing Biases of the Black-Scholes Model - Stylized Facts 156
9.1.1 The Volatility Smile.................. 156
9.1.2 The Term Structure of Volatilities.......... 157
9.1.3 The Debt-Maturity Term Structure of Volatilities . . 158
9.2 Pure Debt-Equity Capital Structures............. 158
9.2.1 Merton (1974)/Geske (1979) ............. 158
9.2.1.1 Volatility Smile ............... 159
9.2.1.2 Term Structure of Volatilities........ 162
9.2.1.3 Debt-Maturity Term Structure of Volatilities 164
9.2.2 Black and Cox (1976)/Model 1............ 164
9.2.2.1 Positive Asset Payouts, No Barrier..... 165
9.2.2.2 Positive and Exponentially Increasing
Barrier, No Asset Payouts.......... 169
9.2.3 Leland (1994) / Toft and Prucyk (1997)....... 172
9.2.4 (Restricted) Leland (1998) / Model 5 ........ 173
9.2.5 Leland and Toft (1996) / Model 4.......... 177
9.2.6 Ericsson and Reneby (2001) / Model 6........ 180
9.2.7 Model A / Model 7................... 182
9.2.8 Conclusions....................... 186
9.3 Capital Structure Models with Convertibles......... 186
9.3.1 Ingersoll (1977a): Convertible Discount Bonds /
Model 2......................... 187
9.3.2 Ingersoll (1977a): Callable Convertible Discount
Bonds / Model 3.................... 187
10 Option Pricing Effects of Changes in a Firm s Capital
Structure 191
10.1 Changes within Model 7.................... 192
10.1.1 Changes in the Level of Debt............. 192
10.1.2 Changes in the Growth Rate of Debt......... 194
10.1.3 Changes in Debt Maturity............... 195
10.1.4 Changes in the Level of Debt Protection....... 196
10.2 Changes within Hanke and Potzelberger (2002)....... 197
11 Conclusions and Directions for Further Research 201
Bibliography 203
|
| any_adam_object | 1 |
| author | Hanke, Michael 1973- |
| author_GND | (DE-588)138353581 |
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| bvnumber | BV016972297 |
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| dewey-search | 332.632 |
| dewey-sort | 3332.632 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. Aufl. |
| format | Book |
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| indexdate | 2024-07-09T19:12:21Z |
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| isbn | 321100520X |
| language | English |
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| physical | XVI, 208 S. graph. Darst. |
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| spelling | Hanke, Michael 1973- Verfasser (DE-588)138353581 aut Credit risk, capital structure, and the pricing of equity options Michael Hanke 1. Aufl. Wien ; New York Springer 2003 XVI, 208 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Cours du marché rasuqam Instrument dérivé (Finances) rasuqam Modèle mathématique rasuqam Optiehandel gtt Prix de l'option rasuqam Risque de crédit rasuqam Stochastische modellen gtt Structure du capital rasuqam Mathematisches Modell Options (Finance) -- Prices -- Mathematical models Credit -- Management -- Mathematical models Risk management -- Mathematical models Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Optionspreis (DE-588)4115453-8 gnd rswk-swf Kapitalstruktur (DE-588)4125993-2 gnd rswk-swf Unternehmen (DE-588)4061963-1 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 s Kapitalstruktur (DE-588)4125993-2 s Unternehmen (DE-588)4061963-1 s Derivat Wertpapier (DE-588)4381572-8 s Optionspreis (DE-588)4115453-8 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010250053&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hanke, Michael 1973- Credit risk, capital structure, and the pricing of equity options Cours du marché rasuqam Instrument dérivé (Finances) rasuqam Modèle mathématique rasuqam Optiehandel gtt Prix de l'option rasuqam Risque de crédit rasuqam Stochastische modellen gtt Structure du capital rasuqam Mathematisches Modell Options (Finance) -- Prices -- Mathematical models Credit -- Management -- Mathematical models Risk management -- Mathematical models Kreditrisiko (DE-588)4114309-7 gnd Optionspreis (DE-588)4115453-8 gnd Kapitalstruktur (DE-588)4125993-2 gnd Unternehmen (DE-588)4061963-1 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4114309-7 (DE-588)4115453-8 (DE-588)4125993-2 (DE-588)4061963-1 (DE-588)4381572-8 |
| title | Credit risk, capital structure, and the pricing of equity options |
| title_auth | Credit risk, capital structure, and the pricing of equity options |
| title_exact_search | Credit risk, capital structure, and the pricing of equity options |
| title_full | Credit risk, capital structure, and the pricing of equity options Michael Hanke |
| title_fullStr | Credit risk, capital structure, and the pricing of equity options Michael Hanke |
| title_full_unstemmed | Credit risk, capital structure, and the pricing of equity options Michael Hanke |
| title_short | Credit risk, capital structure, and the pricing of equity options |
| title_sort | credit risk capital structure and the pricing of equity options |
| topic | Cours du marché rasuqam Instrument dérivé (Finances) rasuqam Modèle mathématique rasuqam Optiehandel gtt Prix de l'option rasuqam Risque de crédit rasuqam Stochastische modellen gtt Structure du capital rasuqam Mathematisches Modell Options (Finance) -- Prices -- Mathematical models Credit -- Management -- Mathematical models Risk management -- Mathematical models Kreditrisiko (DE-588)4114309-7 gnd Optionspreis (DE-588)4115453-8 gnd Kapitalstruktur (DE-588)4125993-2 gnd Unternehmen (DE-588)4061963-1 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Cours du marché Instrument dérivé (Finances) Modèle mathématique Optiehandel Prix de l'option Risque de crédit Stochastische modellen Structure du capital Mathematisches Modell Options (Finance) -- Prices -- Mathematical models Credit -- Management -- Mathematical models Risk management -- Mathematical models Kreditrisiko Optionspreis Kapitalstruktur Unternehmen Derivat Wertpapier |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010250053&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT hankemichael creditriskcapitalstructureandthepricingofequityoptions |