Showing 1 - 10 of 53
This paper investigates the motivations and practice of nonfinancial firms with regard to using financial options in … use of derivatives in general and options in particular by nonfinancial corporations across different underlyings and … countries. Overall, a significant number of 15%-25% of the firms outside the financial sector use financial options. This …
Persistent link: https://www.econbiz.de/10005835643
This paper studies how options trading, by circumventing constraints on borrowing, permits optimistic investors to hold …. We show that aggregate demand for the stock is what prevails when options do not exist and no constraints hold …
Persistent link: https://www.econbiz.de/10008695108
author illustrated a model of commodity stock market to show how options can play a role similar to that of insurance of …
Persistent link: https://www.econbiz.de/10009019726
The accuracy of volatility forecast estimators has been assessed using daily overlapping and non overlapping observations on two major short-term interest rate futures contracts traded in London. The use of a panelized data set has eliminated some of the drawbacks usually associated with non...
Persistent link: https://www.econbiz.de/10008836450
Under rather general conditions Black - Scholes implied volatilities from at-the-money options appropriately quantify … expiration. The efficiency of these expectation estimates is investigated here, for options on two major short term interest rate …
Persistent link: https://www.econbiz.de/10008836760
The effect of options’ introduction on underlying market is one of the frequently debated themes in financial research …. A significant body of literature addresses the question of effects of options’ introduction. The critical review of the … consensus, but there is little evidence for the destabilization effect of options. Given increasing growth of options in …
Persistent link: https://www.econbiz.de/10011258169
Options are historically being priced using Black Scholes option pricing model and one of the prominent features of it … is normal distribution. In this research paper I will calculate European call options using log logistic distribution … compared to normal distribution. In this research paper I have used historic data on stocks, value European call options using …
Persistent link: https://www.econbiz.de/10011259299
client and the Islamic bank also enters into an options contract as the call option writer. If the call buyer does not … exercise the option, the options contract expires and the Islamic bank is in a position to give the house on rent again. We …
Persistent link: https://www.econbiz.de/10011110844
to make the valuation of options and the underlying hedging strategies during financial crisis more precise. …
Persistent link: https://www.econbiz.de/10011111882
New approach to determining no arbitrage conditions is presented in this paper. Determined by supply and demand prices are used instead of assumptions about price processes. Special attention was made to alternative numeraire change technique that was obtained using presented approach. Results...
Persistent link: https://www.econbiz.de/10011113847