Durations for portfolios of bonds priced on different term structures
Article Abstract:
The duration of a portfolio of bonds priced on different term structures is a function of the future values of the portfolio cash flows at the duration date rather than their present values. The use of present-value weights to compute the duration of such portfolios is likely to yield the wrong value and unexpected investment results. The precise specification of the future-value weights depend on the stochastic process driving movements in interest rates across securities.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1992
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A note on a simple, accurate formula to compute implied standard deviations
Article Abstract:
A simple but accurate formula is derived to estimate implied standard deviations for options priced in the framework developed by Black and Scholes (1973) and Merton (1973). A formula derived by Brenner and Subrahmanyam (1988) is reached when a stock price equals a discounted strike price. A formula is derived where the range of accuracy is extended to a wide band of option moneyness.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1996
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Repricing and employee stock option valuation
Article Abstract:
The repricing of employee stock options by an issuing firm is discussed in detail.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2001
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