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Search options not deleted 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.

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 …
CuriousMind's user avatar
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 …
CuriousMind's user avatar
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. …
CuriousMind's user avatar