Stock Option Contract Adjustments: The Case of Special Dividends

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE

Journal of Derivatives Pub Date : 2009-11-11 DOI:10.2139/SSRN.1430558

K. Barraclough, H. Stoll, R. Whaley

引用次数: 3

Abstract

The terms of stock option contracts are adjusted in the event of unexpected corporate actions, and the nature of the adjustments may result in windfall gains or losses to open option positions. This paper evaluates the fairness of the two different procedures used for special cash dividends. We show that, while neither procedure is technically correct, the absolute adjustment used in the U.S. and Canada minimizes the windfall change in option value when the dividend is announced. In addition, the proportional adjustment used in Australia and Europe depends on stock price and is therefore vulnerable to temporary aberrations in the stock market.

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股票期权合约调整:以特别股息为例

股票期权合约的条款会在公司发生意外行为时进行调整，调整的性质可能会导致期权头寸的意外收益或损失。本文对两种不同的特殊现金股利处理程序的公平性进行了评价。我们表明，虽然这两种方法在技术上都不正确，但在美国和加拿大使用的绝对调整使宣布股息时期权价值的意外变化最小化。此外，澳大利亚和欧洲使用的比例调整取决于股票价格，因此容易受到股票市场暂时失常的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Derivatives Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.30

自引率

14.30%

发文量

期刊介绍： The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets