General Properties of Option Prices
Published: 12/1996, Volume: 51, Issue: 5 | DOI: 10.1111/j.1540-6261.1996.tb05218.x | Cited by: 85
YAACOV Z. BERGMAN, BRUCE D. GRUNDY, ZVI WIENER
When the underlying price process is a one‐dimensional diffusion, as well as in certain restricted stochastic volatility settings, a contingent claim's delta is bounded by the infimum and supremum of its delta at maturity. Further, if the claim's payoff is convex (concave), the claim's price is a convex (concave) function of the underlying asset's value. However, when volatility is less specialized, or when the underlying process is discontinuous or non‐Markovian, a call's price can be a decreasing, concave function of the underlying price over some range, increasing with the passage of time, and decreasing in the level of interest rates.
DISCUSSION
Published: 5/1983, Volume: 38, Issue: 2 | DOI: 10.1111/j.1540-6261.1983.tb02264.x | Cited by: 1
ZVI BODIE
COMMON STOCKS AS A HEDGE AGAINST INFLATION
Published: 5/1976, Volume: 31, Issue: 2 | DOI: 10.1111/j.1540-6261.1976.tb01899.x | Cited by: 452
Zvi Bodie
A MODEL FOR THE INTEGRATION OF CREDIT AND INVENTORY MANAGEMENT
Published: 3/1974, Volume: 29, Issue: 1 | DOI: 10.1111/j.1540-6261.1974.tb00029.x | Cited by: 49
Michael Schiff, Zvi Lieber
Future Investment Opportunities and the Value of the Call Provision on a Bond: Reply
Published: 9/1980, Volume: 35, Issue: 4 | DOI: 10.1111/j.1540-6261.1980.tb03524.x | Cited by: 2
ZVI BODIE, ROBERT A. TAGGART
FUTURE INVESTMENT OPPORTUNITIES AND THE VALUE OF THE CALL PROVISION ON A BOND
Published: 9/1978, Volume: 33, Issue: 4 | DOI: 10.1111/j.1540-6261.1978.tb02056.x | Cited by: 107
Zvi Bodie, Robert A. Taggart
Portfolio Selection in a “Winner‐Take‐All” Environment
Published: 3/1979, Volume: 34, Issue: 1 | DOI: 10.1111/j.1540-6261.1979.tb02082.x | Cited by: 0
PAUL D. BERGER, ZVI BODIE
VALUATION, OPTIMUM INVESTMENT AND FINANCING FOR THE FIRM SUBJECT TO REGULATION
Published: 5/1975, Volume: 30, Issue: 2 | DOI: 10.1111/j.1540-6261.1975.tb01819.x | Cited by: 0
Franco Modigliani, Edwin J. Elton, Martin J. Gruber, Zvi Lieber