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This paper investigates the effects of the issuance of retail products with non-linear payoffs on option prices. For a given underlying asset, when the outstanding volume of products embedding a short-put position increases, implied volatility at the corresponding strike decreases. A similar...
Persistent link: https://www.econbiz.de/10012886191
This paper empirically analyzes a particular type of notes observed in securitization transactions: combination notes. Combination notes are formed by combining parts of two or more tranches of securitization transactions, where one part usually consists of a share of the first loss piece. It is...
Persistent link: https://www.econbiz.de/10010442168
The Marketing literature has shown how difficult it is to profile market segments derived with finite mixture models, especially using traditional descriptor variables (e.g., demographics). Such profiling is critical for the proper implementation of segmentation strategy. We propose a new finite...
Persistent link: https://www.econbiz.de/10012989492
The trading of securities on multiple markets raises the question of each market's share in the discovery of the informationally efficient price. We exploit salient distributional features of multivariate financial price processes to uniquely determine these contributions. Thereby we resolve the...
Persistent link: https://www.econbiz.de/10008666526
positive correlation between the equity and derivative holdings of mutual fund schemes against the Nifty Arbitrage 50 Index and …
Persistent link: https://www.econbiz.de/10012825502
We consider a multi-service transportation system in which passengers are heterogeneous along two dimensions, namely ideal departure time and value of time, leading to both horizontal and vertical differentiation. We investigate the behavior of passengers, and assess how service pricing and...
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