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- W3198435099 abstract "In this article, we compare a synthetic call Ericsson B option with a synthetic underlying share and design the payoff. We aim to calculate the share price increases and decreases based on the factor given, the payoff of the synthetic call option in each case and the expected value of the option based on the calculated probabilities and the prices of the payoff call options. Finally, we calculate the value of the option today discounted at the given risk-free rate. Our results show that a synthetic call Ericsson B option is more volatile than the synthetic underlying share. The standard deviation and other adjusted risk measures such as the Sharpe ratio show high and larger fluctuations of returns of the synthetic call Ericsson B option." @default.
- W3198435099 created "2021-09-13" @default.
- W3198435099 creator A5036076509 @default.
- W3198435099 date "2021-04-08" @default.
- W3198435099 modified "2023-09-25" @default.
- W3198435099 title "Comparing a Synthetic Call Ericsson B Option With a Synthetic Underlying Share and Designing the Payoff" @default.
- W3198435099 hasPublicationYear "2021" @default.
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