financed with equity and zero-coupon bonds. By no-arbitrage, pseudo bonds are equivalent to Treasuries minus put options on …

index, can be hard to measure with accuracy due to the lack of precise prices for options with strikes in the tails of the …

From 1836 to 2011, the average real rate of price change for gold in the United States is 1.1% per year and the … gold's real rate of price change with consumption and GDP growth rates are small and statistically insignificantly … different from zero. These negligible covariances suggest that gold's expected real rate of return--which includes an unobserved …

The paper is a study of the price level and relative price effects of a policy to monetize gold and fix its price at a … gold standard and during the post-monetization period. The paper also explores the adjustments to fiat money which are … necessary to ensure that this type of gold monetization is non-inflationary. Finally, some conditions which produce a run on the …

this hypothesis by studying the response of the stock market values of gold mining companies to changes in gold prices. The … we find that the stock values of many gold mining companies are concave in the price of gold. We show that this is …

In this essay, I analyze the nationalization of large copper mines during Salvador Allende's socialist government in …

The historical returns on equity index options are well known to be strikingly negative. That is typically explained … replicated, or synthetic, options. Theoretically, it derives conditions under which convex marginal utility leads synthetic … options to also have negative excess returns. Empirically, synthetic options have CAPM alphas near zero over the period 1926 …

options. These two measures capture the ex-ante risk assessed by investors. We find that both components of risk vary …

Widespread violations of stochastic dominance by one-month S&P 500 index call options over 1986-2006 imply that a …-2006 which may be due to the lower quality of the data but, in any case, does not provide evidence that the options market is …