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Behavioral Preferences for Individual Securities : The Case for Call Warrants and Call Options

ter Horst, Jenke; Veld, C.H. - Tilburg University, Center for Economic Research - 2002

options, traded on the options exchange, exist.Both entitle their holders to buy shares of common stock.We use the long …-term call options in order to price the call warrants.Using the model of Black and Scholes (1973), the Square Root model version …

Persistent link: https://www.econbiz.de/10011091378

Multivariate Option Pricing Using Dynamic Copula Models

Werker, Bas J.M.; van den Goorbergh, R.W.J.; Genest, C. - Tilburg University, Center for Economic Research - 2003

models are applied to better-of-two-markets and worse-of-two-markets options on the S&P500 and Nasdaq indexes.Results show …

Persistent link: https://www.econbiz.de/10011092166

Option Pricing and Momentum

Rodríguez, Juan Carlos - Tilburg University, Center for Economic Research - 2007

mo- mentum. This paper studies the pricing of options in such a situation, within a new model in which the dividend yield …, moreover, it renders preference-free formulas for European options. A momentum- inducing dividend yield implies that calls will … out-of-the money options. …

Persistent link: https://www.econbiz.de/10011092201

Analyzing specification errors in models for futures risk premia with hedging pressure

Nijman, Theo; de Roon, F.A.; Veld, C.H. - Tilburg University, Center for Economic Research - 1997

Persistent link: https://www.econbiz.de/10011092594

Relaxing Competition through Speculation : Committing to a Negative Supply Slope

Holmberg, P.; Willems, Bert - Tilburg University, Center for Economic Research - 2012

competition in the spot market. In our game, suppliers first choose a portfolio of call options and then compete with supply … functions. In equilibrium firms sell forward contracts and buy call options to commit to downward sloping supply functions …

Persistent link: https://www.econbiz.de/10011092737

Intraday Lead-Lag Relationships between the Futures-, Options and Stock Market

de Jong, Frank C. J. M.; Donders, M.W.M. - Tilburg University, Center for Economic Research - 1996

correlations.We use a new estimator to estimate lead-lag relationships between the cash AEX index, options and futures.We find that … futures returns lead both options and cash index returns by approximately 10 minutes.The relationship between options and the …

Persistent link: https://www.econbiz.de/10011092782

Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates

Jiang, G.J.; van der Sluis, P.J. - Tilburg University, Center for Economic Research - 2000

the options market inpricing options. Finally, both the model diagnostics and option pricing errors in our study suggest …

Persistent link: https://www.econbiz.de/10011092809

The Impact of Overnight Periods on Option Pricing

Drost, Feike C.; Werker, Bas J.M.; Boes, M.J. - Tilburg University, Center for Economic Research - 2005

This paper investigates the effect of closed overnight exchanges on option prices.During the trading day asset prices follow the literature s standard affine model which allows asset prices to exhibit stochastic volatility and random jumps.Independently, the overnight asset price process is...

Persistent link: https://www.econbiz.de/10011092893

Exchange rate target zones : A new approach

de Jong, Frank C. J. M.; Drost, Feike C.; Werker, Bas J.M. - Tilburg University, Center for Economic Research - 1997

Persistent link: https://www.econbiz.de/10011090368

Analytic American Option Pricing and Applications

Sbuelz, A. - Tilburg University, Center for Economic Research - 2003

I use a convenient value breakdown in order to obtain analytic solutions for finitematurity American option prices.Such a barrier-option-based breakdown yields an analytic lower bound for the American option price, which is as price-tight as the Barone-Adesi and Whaley (1987) analytic value...

Persistent link: https://www.econbiz.de/10011090493