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The Effects of Option Expiration on NSE volume and prices
Gupta, Akash; Metia, Samik; Trivedi, Prashant - EconWPA - 2004
This paper studies the effect of stock options expiration day on the underlying shares traded on the National Stock … pinning on expiration days. To the best of our knowledge, this is a first such study done on the Indian market. …
Persistent link: https://www.econbiz.de/10005134925
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Do Brokers Misallocate Customer Trades? Evidence From Futures Markets
Park, Hun Y.; Sarkar, Asani; Wu, Lifan - EconWPA - 1998
In the context of futures markets, we study whether brokers allocate more favorable trades to their own accounts, and …
Persistent link: https://www.econbiz.de/10005413100
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Accounting for Employee Stock Options: An Economics Perspective
Cai, Junning - EconWPA - 2004
Instead of relying on accounting principles and illustrative accounting examples, this paper examines the rationale for ESO expensing from an economics perspective and has the following findings. In principle, while ESO expensing is justified under ESOs’ expense-postponing function, it is not...
Persistent link: https://www.econbiz.de/10005134743
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Competition among Alternative Option Market Structures: Evidence from Eurex vs. Euwax
Bartram, Sohnke M.; Fehle, Frank R. - EconWPA - 2003
-issued options. These markets exist side-by- side, offering many options with identical or similar characteristics. We motivate the …
Persistent link: https://www.econbiz.de/10005134941
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Alternative Market Structures for Derivatives
Bartram, Sohnke M.; Fehle, Frank R. - EconWPA - 2003
In this paper, we compare option contracts from a traditional derivatives exchange to bank-issued options, also … counterparty for bank-issued options, they frequently exist side-by-side, and the empirical evidence shows that there is …-issued options have smaller quoted percentage bid-ask spreads than traditional option contracts by an average of 4.3%. The bid …
Persistent link: https://www.econbiz.de/10005413164
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Implied Calibration of Stochastic Volatility Jump Diffusion Models
Galluccio, Stefano; Cam, Yann Le - EconWPA - 2005
In the context of arbitrage-free modelling of financial derivatives, we introduce a novel calibration technique for models in the affine- quadratic class for the purpose of contingent claims pricing and risk- management. In particular, we aim at calibrating a stochastic volatility jump diffusion...
Persistent link: https://www.econbiz.de/10005076950
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An empirical analysis of structural models of corporate debt pricing
Teixeira, Joao C. A. - EconWPA - 2005
This paper tests empirically the performance of three structural models of corporate bond pricing, namely Merton (1974), Leland (1994) and Fan and Sundaresan (2000). While the first two models overestimate bond prices, the Fan and Sundaresan model reveals an extremely good performance. When...
Persistent link: https://www.econbiz.de/10005076981
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From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices
Denzler, Stefan; Dacorogna, Michel M.; Mueller, Ulrich A.; … - EconWPA - 2005
Credit risk models like Moody’s KMV are now well established in the market and give bond managers reliable estimates of default probabilities for individual firms. Until now it has been hard to relate those probabilities to the actual credit spreads observed on the market for corporate bonds....
Persistent link: https://www.econbiz.de/10005077017
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Option pricing with Levy Process
Benhamou, Eric - EconWPA - 2002
In this paper, we assume that log returns can be modelled by a Levy process. We give explicit formulae for option prices by means of the Fourier transform. We explain how to infer the characteristics of the Levy process from option prices. This enables us to generate an implicit volatility...
Persistent link: https://www.econbiz.de/10005125062
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Accouting for Biases in Black-Scholes
Backus, David; Foresi, Silverio; Wu, Liuren - EconWPA - 2002
Prices of currency options commonly differ from the Black-Scholes formula along two dimensions: implied volatilities … vary by strike price (volatility smiles) and maturity (implied volatility of at­the­money options increases, on average …
Persistent link: https://www.econbiz.de/10005134642