Option pricing given corporate financial information

Home > Archive>Volume 19, Issue 1, 2016 >117-126

Option pricing given corporate financial information
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                        WANG An-xingWANG An-xing
School of Finance，Shanghai University of Finance and Economics，Shanghai 200433，China;Laboratory of Financial Information Technology，Shanghai 200433，China
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DU KunDU Kun
School of Finance，Shanghai University of Finance and Economics，Shanghai 200433，China
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Abstract:

This paper analyzes the European option pricing given corporate financial information． The pricing formula for European option were given under Merton(1974) 、Black ＆ Cox(1976) and Leland ＆ Toft (1996) models． We find that a company’s capital structure has significant effects on European option prices．

Key words:option pricing; capital structure; credit risk; bankrupt boundary

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Online: April 22,2018
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