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On the demand pressure hypothesis in option markets: the case of a redundant option

Bennour, Khaled - Volkswirtschaftliche Fakultät, … - 2011

Gârleanu et al. (RFS 2009) show that a demand pressure phenomenon exists in option markets due to limit to arbitrage …. They assert that if arbitrage is perfect, option demand does not impact option price. In this note we show that there is a … positive relation between the demand for a redundant option and the option price, which is related to the beliefs of …

Persistent link: https://www.econbiz.de/10011113296

On the liquidity of CAC 40 index options Market

François-Heude, Alain; Yousfi, Ouidad - Volkswirtschaftliche Fakultät, … - 2013

enhance liquidity, we test the generalized reset GR option of François-Heude and Yousfi (2013) in the PXA options' market. Our …

Persistent link: https://www.econbiz.de/10011113793

Tests d'arbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence

Ardia, David - Volkswirtschaftliche Fakultät, … - 2002

This MSc thesis proposes the analysis of high frequency ODAX options during October 2001. It consists of three chapters investigating respectively market activity, arbitrage opportunities and performance of various implied volatility surfaces.

Persistent link: https://www.econbiz.de/10008528725

Term Structure Equations Under Benchmark Framework

El Qalli, Yassine - Volkswirtschaftliche Fakultät, … - 2009

This paper makes use of an integrated benchmark modeling framework that allows us to derive term structure equations for bond and forward prices. The benchmark or numeraire is chosen to be the growth optimal portfolio (GOP). For deterministic short rate the solution of the bond term structure...

Persistent link: https://www.econbiz.de/10004980411

An extended model of currency options applicable as policy tool for central banks with inflation targeting and dollarized economies

Arizmendi, Luis-Felipe - Volkswirtschaftliche Fakultät, … - 2013

The purpose of this paper is to provide a new set of tools for policy makers at central banks. Based on the Garman-Kohlhagen formula for currency options, this research extends it with the Taylor-rule expression used for inflation targeting, thus obtaining the corresponding Call and Put options...

Persistent link: https://www.econbiz.de/10011107280

Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia

Huang, Huichou; MacDonald, Ronald - Volkswirtschaftliche Fakultät, … - 2012

This is the first study that employs option pricing model to measure the position-unwinding risk of currency carry …

Persistent link: https://www.econbiz.de/10011107339

Price Drivers and Investment Strategies of Gold

Arayssi, Mahmoud - Volkswirtschaftliche Fakultät, … - 2013

The price determinants of gold are explained in this paper. Benefits from holding gold as an investment class asset in several forms, including ETFs are explored. Disadvantages of holding various gold investments are described, particularly in Contango markets. The gold prices are examined in...

Persistent link: https://www.econbiz.de/10011107705

The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data

Bicchetti, David; Maystre, Nicolas - Volkswirtschaftliche Fakultät, … - 2012

This paper analyses the intraday co-movements between returns on several commodity markets and on the stock market in the United States over the 1997-2011 period. By exploiting a new high frequency database, we compute various rolling correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second,...

Persistent link: https://www.econbiz.de/10011107807

Usefulness of Treasury Bill Futures as Hedging Instruments

Cicchetti, Paul; Dale, Charles; Vignola, Anthony - Volkswirtschaftliche Fakultät, … - 1981

In a recent article, Ederington (1979) examined the hedging performance of financial futures markets using a portfolio model derived from the hedging theories of Stein (1961) and Johnson (1960). His article concluded that GNMA futures were more effective than T-Bill futures in reducing price...

Persistent link: https://www.econbiz.de/10011107838

The arc sine law and the treasury bill futures market

Dale, Charles; Workman, Rosemarie - Volkswirtschaftliche Fakultät, … - 1980

According to the so-called "arc sine law," mechanical trading rules applied to price movements in financial assets will result in long periods of cumulative success, but equally long periods of cumulative failure. The long periods of success will tempt investors to apply trading rules to actual...

Persistent link: https://www.econbiz.de/10011108173