Przeglądaj wg Autor "Kobak, Piotr Z."
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Pozycja Pricing Dividend Protected Options Listed on the Warsaw Stock Exchange(Wyższa Szkoła Biznesu – National-Louis University by Management Sciences Institute, 2007) Kobak, Piotr Z.Due to the contingent dividend protection feature of the stock options listed on the Warsaw Stock Exchange, the standard Black-Scholes option price formulae do not apply in this case. We derive closed form price formulae and the put-call parity relationship for WSE stock options, and discuss the price differences between the standard and the modified formulae.