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- 2011-7-11
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It actually is uncomplicated.
How long is your holding period until a buyer materializes? Let's say 3 years
Strike $1
Price $1 (i.e. parity)
Volatility 5 percent (i.e. trading levels vs. par)
Holding Period 3 years
Dividend interest payments (i.e. interest rate)
Oila. Cost of put = illiquidity premium.
Finnerty and asian put models are more complex but also address some nuances. |
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发表于 2011-10-3 15:46
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