Durations for portfolios of bonds priced on different term structures

Article Abstract:

The duration of a portfolio of bonds priced on different term structures is a function of the future values of the portfolio cash flows at the duration date rather than their present values. The use of present-value weights to compute the duration of such portfolios is likely to yield the wrong value and unexpected investment results. The precise specification of the future-value weights depend on the stochastic process driving movements in interest rates across securities.

Methods, Management, Economic aspects, Securities, Bonds, Bonds (Securities), Investment analysis, Securities analysis

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A note on a simple, accurate formula to compute implied standard deviations

Article Abstract:

A simple but accurate formula is derived to estimate implied standard deviations for options priced in the framework developed by Black and Scholes (1973) and Merton (1973). A formula derived by Brenner and Subrahmanyam (1988) is reached when a stock price equals a discounted strike price. A formula is derived where the range of accuracy is extended to a wide band of option moneyness.

Analysis, Standard deviations, Standard deviation

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Repricing and employee stock option valuation

Article Abstract:

The repricing of employee stock options by an issuing firm is discussed in detail.

United States, Stock Options, Statistical Data Included, Executive compensation, Employee stock options

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