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user 2576
A contract that gives the owner the right, but not the obligation, to buy or sell a security at a fixed price in the future.
2
votes
0
answers
285
views
spinoff entity value / adjusted close of a spinoff
When company $A$ spins off company $B$ (i.e. $A = A'+B$), how do we know exactly the adjustment factor of $A'$ and $B$ before trading
Note I am not asking to value the new companies. That's a whole d …
- 817
49
votes
16
answers
36k
views
Why Drifts are not in the Black Scholes Formula
This question has puzzled me for a while.
We all know geometric brownian motions have drifts $\mu$:
$dS / S = \mu dt + \sigma dW$
and different stocks have different drifts of $\mu$. Why would th …
- 817
2
votes
1
answer
152
views
How to price complex corporate actions with spinoffs
Options exchange has to convert/settle the UTX options into RTX options somehow, etc, etc. …
- 817