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~language:"eng"
~person:"Chang, Chuang-chang"
~person:"Guirguis, Michel"
~person:"Perrakis, Stylianos"
~person:"Poteshman, Allen M."
~subject:"Hedging"
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Search: subject:"European option"
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Hedging
Option trading
61
Optionsgeschäft
61
Option pricing theory
32
Optionspreistheorie
32
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20
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20
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17
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Chang, Chuang-chang
Guirguis, Michel
Perrakis, Stylianos
Poteshman, Allen M.
Hull, John
15
Pedersen, Lasse Heje
7
Carr, Peter
6
Dew-Becker, Ian
6
Giglio, Stefano
6
Kelly, Bryan T.
6
Kit, Pong Wong
6
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5
Benth, Fred Espen
5
Dolinsky, Yan
5
Frey, Rüdiger
5
Garleanu, Nicolae
5
Acharya, Viral V.
4
Bayraktar, Erhan
4
Carpenter, Jennifer N.
4
Elliott, Robert J.
4
Ewald, Christian-Oliver
4
Fengler, Matthias R.
4
Hobson, David G.
4
Kaeck, Andreas
4
Lien, Da-hsiang Donald
4
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4
Siu, Tak Kuen
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Soner, Halil Mete
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4
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3
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3
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3
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3
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3
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Imeraj, Arben
3
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3
Kim, Kyoung-Kuk
3
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ECONIS (ZBW)
12
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1
Does option trading have a pervasive impact on underlying stock prices?
Ni, Sophie X.
;
Pearson, Neil D.
;
Poteshman, Allen M.
; …
- In:
The review of financial studies
34
(
2021
)
4
,
pp. 1952-1986
Persistent link: https://www.econbiz.de/10012504731
Saved in:
2
Testing the Effect of the Gamma Effect on a Call Nordea Option Delta and How a Hedge Position Is Achieved
Guirguis, Michel
-
2021
We analyze the gamma effect on a call Nordea option delta and how a hedge position is achieved. There is significant time variation in the gamma effect on a call Nordea option delta and the traditional Black – Scholes model can not explain this deviation. The Black – Scholes model is used to...
Persistent link: https://www.econbiz.de/10013232485
Saved in:
3
Demand-Based Option Pricing
Garleanu, Nicolae
-
2010
We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the...
Persistent link: https://www.econbiz.de/10012761687
Saved in:
4
Demand-based option pricing
Garleanu, Nicolae
;
Pedersen, Lasse Heje
;
Poteshman, Allen M.
-
2005
Persistent link: https://www.econbiz.de/10003240184
Saved in:
5
Demand-based option pricing
Garleanu, Nicolae
(
contributor
); …
-
2005
derivative and its payoffs. For a
European
option
, for instance, the strike price, maturity date, and whether the option is a …
Persistent link: https://www.econbiz.de/10003726854
Saved in:
6
Demand-Based Option Pricing
Garleanu, Nicolae
-
2005
We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the...
Persistent link: https://www.econbiz.de/10012466828
Saved in:
7
Pricing and hedging quanto forward-starting floating-strike Asian options
Chang, Chuang-chang
;
Liao, Tzu-hsiang
;
Tsao, Chueh-yung
- In:
The journal of derivatives : the official publication …
18
(
2011
)
3
,
pp. 37-53
Persistent link: https://www.econbiz.de/10009229667
Saved in:
8
Demand-Based Option Pricing
Gârleanu, Nicolae
-
2010
We model demand-pressure effects on option prices. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the price of any other option by an amount...
Persistent link: https://www.econbiz.de/10013150817
Saved in:
9
Demand-based option pricing
Garleanu, Nicolae
;
Pedersen, Lasse Heje
;
Poteshman, Allen M.
- In:
The review of financial studies
22
(
2009
)
10
,
pp. 4259-4299
Persistent link: https://www.econbiz.de/10003887031
Saved in:
10
Demand-based option pricing
Garleanu, Nicolae B.
;
Pedersen, Lasse Heje
;
Poteshman, …
-
2006
Persistent link: https://www.econbiz.de/10003294309
Saved in:
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