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	Call option - Wikipedia, the free encyclopedia
		A call option is a financial contract between two parties, the buyer and the seller of this type of option.
		Call options can be purchased on many financial instruments other than stock in a corporation - options can be purchased on futures on interest rates, for example (see interest rate cap) - as well as on commodities such as gold or crude oil.
		A call option should not be confused with either Incentive stock options or with a warrant.
	en.wikipedia.org /wiki/Call_option (934 words)

	Option style - Wikipedia, the free encyclopedia
		In finance, the style or family of an option is a general term denoting the class into which the option falls, usually defined by the dates on which the option may be exercised.
		Option contracts traded on futures exchanges are mainly American-style, whereas those traded over-the-counter are mainly European.
		A deep ITM currency option (FX option) where the strike currency has a lower interest rate than the currency to be received will often be exercised early because the time value sacrificed is less valuable than the expected depreciation of the received currency against the strike.
	en.wikipedia.org /wiki/European_option (1417 words)

	NOVA Online \| Trillion Dollar Bet \| Site Map
		This is the cost to purchase one European-type call option of a certain stock.
		A stock option is a contract that gives you the right—but not the obligation—to buy or sell a stock at a pre-specified price (the exercise price) for a pre-specified time, that is, until the option "expires." If the option gives you the right to buy shares of a stock, it is a call option.
		Options are usually sold in sets of 100 (which would allow you to buy or sell 100 shares of the underlying stock at a certain price for the duration of the option).
	www.pbs.org /wgbh/nova/stockmarket/formulaoptions.html (668 words)

	:: Quantnotes.com :: Fundamentals ::
		For a European call option on a non-dividend-paying underlying, the value of the option is:
		Deltas for call options are always positive, which means that a long (buy) call should be hedged with a short (sell) position in the underlying, and vice versa.
		Deltas for put options are always negative, which means that a long put should be hedged with a long position in the underlying, and vice versa.
	www.quantnotes.com /fundamentals/options/thegreeks-delta.htm (504 words)

	WWWFinance - Option Contracts
		A call option on XYZ with a strike price of 45 and a maturity date in January will be referred to as "The XYZ 45 January calls." All exchange traded options in the U.S. expire on the saturday following the third friday of the expiration month.
		European options may only be exercised on the expiration day, while American options may be exercised at any time up to and including the expiration day.
		Hence, common stock is a call option on the value of the firm, with maturity date the date the bond matures and the exercise price is the par value of the bond.
	www.duke.edu /~charvey/Classes/ba350_1997/options/options.htm (9439 words)

	Welcome to the Financial Trading System
		An option is a contract between two parties: a buyer and a seller (or option writer).
		This option can be exercised only at its time of maturity, and the decision whether to exercise depends upon whether the option finishes in-the-money or out-of-the-money.
		In summary, your exercise decision at the end of the life of a European option is determined by whether the option is in-the-money or out-of-the-money.
	www.ftsnet.com /public/ftsmodhtm/ftsOpCalculator/options.htm (1262 words)

	Call option - Real Time & Delayed Quotes, Charts, News and Data for Futures, Stocks, Commodities and Indexes - ... (Site not responding. Last check: 2007-11-01)
		A European call option allows the holder to exercise the option (i.e., to buy) only on the delivery date.
		American call option allows exercise at any time during the life of the option.
		When a call option is exercised, if it involves shares, the shares are simply being transferred from one owner to another.
	www.tradesignals.com /glossary/Call_option (884 words)

	Introductory_Mma_Exercise_v1.nb
		Define the theta of the call option (in dollars/year); i.e., the rate of change of the option price with respect to the time when the asset price is held constant.
		Thus, the theta of the call option is the partial derivative of the call option price with respect to time.
		Thus, the gamma of the call option is the second partial derivative of the call option price with respect to the asset price.
	www-rcf.usc.edu /~fjlin/Intro_Mma_Ex.html (1267 words)

	Appendix A (Site not responding. Last check: 2007-11-01)
		Denoting the price of a European call option as c and the price of a European put option as p, the variables c and p are both functions of S (the underlying price), X (the exercise price), r (the interest rate), t (the number of years to expiry), and (the volatility).
		Since the options are European, they cannot be exercised prior to the expiration date.
		It shows that the value of a European call with a certain exercise price and exercise date can be deduced from the value of a European put with the same exercise price and date, and vice versa.
	www.clearlight.com /rtvsoft/diss17.htm (419 words)

	An Introduction to Financial Option Valuation - Cambridge University Press (Site not responding. Last check: 2007-11-01)
		Definition A European call option gives its holder the right (but not the obligation) to purchase from the writer a prescribed asset for a prescribed price at a prescribed time in the future.
		Options have become extremely popular; so popular that in many cases more money is invested in them than in the underlying assets.
		For the moment we note that an American call has the same value as a European call (assuming that no dividends are paid), and an American put has a higher value than a European put.
	www.cambridge.org /catalogue/catalogue.asp?isbn=0521838843&ss=exc (2664 words)

	Price-curves for a call-option (Site not responding. Last check: 2007-11-01)
		An option is defined by its price curve (c vs S) at expiry.
		What would be the general appearance of the price curve of an option at some time before expiry (for example, very close to expiry).
		Set values for s, r and T (it is the last that we primarily wish to vary); and indicate whether you want the lower bound displayed with the price curve.
	www.scotty.com.au /frm/options/pricecurve.html (459 words)

	[No title] (Site not responding. Last check: 2007-11-01)
		What is the value of a one-year European call option using the Black-Scholes model? You are given the following information.
		All options are European and the stock does not pay a dividend.
		The option is European and the stock does not pay a dividend.
	www-personal.engin.umich.edu /~bftsplyk/FIN580/hw4.doc (656 words)

	Option pricing by simulation
		Now, an important simplifying feature of option pricing is the ``risk neutral result,'' which implies that we can treat the (suitably transformed) problem as the decision of a risk neutral decision maker, if we also modify the expected return of the underlying asset such that this earns the risk free rate.
		Both of these options are easy to implement using the generic routines above, all that is necesary is to provide the payoff functions as shown in code 11.10.
		Now, many exotic options are not simply functions of the terminal price of the underlying security, but depend on the evolution of the price from ``now'' till the terminal date of the option.
	finance-old.bi.no /~bernt/gcc_prog/recipes/recipes/node12.html (1399 words)

	[No title] (Site not responding. Last check: 2007-11-01)
		What is the value of a one-year European call option using the Black-Scholes model?Since simple interest rate is 5%, continuously compounded rate is 4.88%.
		The call is in the money by $10, but it is selling at $2.
		Buy the call for $2, put $36.36 (at 10% interest rate) in the bank and short the stock at $50.
	www-personal.engin.umich.edu /~bftsplyk/FIN580/hw4ans.doc (1250 words)

	EuropeanTheta Members
		This method calculates the theta per year of a European call option on a non-dividend-paying stock.
		Returns the theta of a European call option on an asset paying a continuous yield (for example an option on a index).
		Returns the theta of a European put option on an asset paying a continuous yield (for example an option on a index).
	www.webcabcomponents.com /office/documentation/Options.EuropeanThetaMembers.html (160 words)

	SSRN-Nonconvergence in the Variation of the Hedging Strategy of a European Call Option by R. Th. Peters
		SSRN-Nonconvergence in the Variation of the Hedging Strategy of a European Call Option by R. Th.
		In this paper we consider the variation of the hedging strategy of a European call option when the underlying asset follows a binomial tree.
		In a binomial tree model the hedging strategy of a European call option converges to a continuous process when the number of time points increases so that the price process of the underlying asset converges to a Brownian motion, the Bachelier model.
	papers.ssrn.com /sol3/papers.cfm?abstract_id=440045 (252 words)

	Global Derivatives Lookback Options
		Lookback options, also known as Hindsight options are a type of path-dependent option where the payoff is dependent on the maximum or minimum asset price over the life of the option; and this is where the name comes from - the holder of the lookback can 'look back' over time to determine the payoff.
		This type of lookback option is only settled in cash, and has the strike pretermined at inception and the payoff is the maximum difference between the optimal price and the strike price.
		In the case of a lookback option, instead of a predetermined price, the holder of the call can buy the option at either the lowest price over the period (floating), or the difference between the highest observed price and the strike price (fixed).
	www.global-derivatives.com /options/lookback-options.php (1661 words)

	EuropeanEvaluation Methods
		Evaluates the present value of a European call option on a (stock) futures contract.
		Calculates the present value of a European call option on an equity investment which pays dividends during the options life.
		Calculates the value of a European call option where the underlying asset pays a continuous dividend.
	www.webcabcomponents.com /office/documentation/Options.EuropeanEvaluationMethods.html (242 words)

	GSE Callable Debt, November 21, 2002 (Site not responding. Last check: 2007-11-01)
		The term "European-style call option" refers to a specific type of option in which an issuer has a one-time option to call in and retire a security on a specific date.
		Despite its continental sounding name, U.S. agency securities with European-style call options are actually traded globally and are popular with investors around the world.
		Along with the draft Guidelines, the Association is also unveiling a European callable securities calculator that illustrates the mathematical computations described in the guidelines.
	bondmarkets.com /PR/2002/CallableSecurities.shtml (676 words)

	[No title]
		a European call option where the final spot price (that is compared to the strike price) is set to the maximum price that the underlying asset realizes over the life of the option) when the interest rate, dividend rate and implied volatility parameters of model (r, d, and EMBED Equation.3 respectively) are non-stochastic.
		Unfortunately for an Equity Price Lookback Call option, this equation is not correct, because the values x and z don’t determine unambiguously the maximum/minimum in time of transition.
		Example: We used these formulas to calculate the price of an Equity Price Lookback Call option when the parameters of the model r, d and EMBED Equation.3 are non-stochastic and set to r= 0.115, d= 0.07 and EMBED Equation.3 =0.3.
	www.intermarkit.com /research/docs/pricing_of_equity_lookback_options.doc (797 words)

	ECON-305 EXERCISE 5
		There is a European call option on stock ABC that has a strike price of 290 and a time to maturity of 4 months.
		The annual risk-free rate of interest is 5% and the volatility of the stock is 25% per annum.
		Consider the Black-Scholes formula for a put option on a stock that pays a continuous dividend at rate q (Hull, equation 12.5).
	www.keele.ac.uk /depts/ec/t_worrall/options/305EX5.html (255 words)

	[No title]
		In all cases the options are European options, and the underlying bond is zero coupon instrument.
		Current Price Underlying bond $40 European call option which has an exercise price of $40 and which matures in 4 months 3 European put option which has an exercise price of $40 and which matures in 4 months 2 Annualized interest rate for 4 month loans is 5% Part b.
		Underlying bond $60 European call option which has an exercise price of $40 and which matures in 1 year 22 Annualized interest rate for 1 year loans is 11.111% Hint: You need to think of the range of possible current values for put.
	finance.wharton.upenn.edu /~unal2/notes/Options.doc (1730 words)

	Black-Scholes European Option Pricing
		The piece is arguably one of the most important papers within finance theory to date and allows us to price various derivatives, including options on commodities, financial assets and even pricing of employee stock options.
		No dividends are paid out on the underlying stock during the option life.
		The Black-Scholes model today is used in everyday pricing of options and futures and almost all formulas for pricing of exotic options such as barriers, compounds and asian options take their foundation from the Black-Scholes model.
	www.global-derivatives.com /options/black-scholes.php (463 words)

	Syllabus (Site not responding. Last check: 2007-11-01)
		Students are required to download a VBA program that calculates option prices for both European and American styles.
		HW#7c - a) For the European Call, and the European Put plot what occurs as you vary volatility from a very low value to a very high value.
		Plot option value versus price as shown below.b) Plot the same graph as above but instead of option-value on the y-axis, plot the option delta.
	www.nyu.edu /classes/lbrown/module2/syllabus.htm (418 words)

	Option Pricing (Site not responding. Last check: 2007-11-01)
		The figure below shows a comparison of call values from the general additive binomial tree valuation (with three time steps in the binomial tree) and the Black-Scholes valuation for different standard deviations.
		The figure below shows the convergence behavior for the price of the European call option for the general additive binomial tree valuation compared to the Black-Scholes valuation.
		The next figure shows Black-Scholes prices for a one-year maturity, European call option with a strike price of $100 with the assumptions that the continuously compounded interest rate is 6 per cent per annum and the standard deviation of the asset price is 0.20.
	shazam.econ.ubc.ca /intro/fin3.htm (378 words)

	[No title]
		A European put option earns the owner an amount equal to the exercise price minus the price at expiration, if the price at expiration is less than the exercise price.
		The file 02a-01-euro.xls contains a template that computes (based on the well-known Black-Scholes formula) the price of a European call and put based on the following inputs: today's stock price, the duration of the option (in years), the option's exercise price, the risk-free rate of interest (per year), and the annual volatility in stock price.
		Use a data table to show how a change in the option's duration changes the option's value.
	pages.stern.nyu.edu /~djuran/02a-01-euro.doc (351 words)

	[No title]
		If the call option was maturing today, rather than later, the option payoff would be equal to: Max (S - X, 0).
		This is the so-called “Intrinsic Value” of the call option.
		Notice that the Black-Scholes call price is usually greater than the payoff you would obtain if the call was maturing today (the “intrinsic value”).
	www-unix.oit.umass.edu /~som640/Sec15_7Blk.doc (1149 words)

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