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The Determinants of the Time to Efficiency in Options Markets : A Survival Analysis Approach.
Riva, Fabrice; Deville, Laurent - Université Paris-Dauphine
This paper examines the determinants of the time it takes for an index options marketto be brought back to efficiency … after put-call parity deviations, using intraday transactionsdata from the French CAC 40 index options over the August 2000 … volume as well as trade imbalances in call andput options, and volatility are important in understanding why some arbitrage …
Persistent link: https://www.econbiz.de/10008917386
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A super-replication theorem in Kabanov’s model of transaction costs.
Campi, Luciano; Schachermayer, Walter - Université Paris-Dauphine - 2006
We prove a general version of the super-replication theorem, which applies to Kabanov’s model of foreign exchange markets under proportional transaction costs. The market is described by a matrix-valued càdlàg bid-ask process $$(\Pi_t)_{t\in [0,T]}$$ evolving in continuous time. We propose a...
Persistent link: https://www.econbiz.de/10008790064
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The Determinants of the Time to Efficiency in Options Markets: A Survival Analysis Approach.
Deville, Laurent; Riva, Fabrice - Université Paris-Dauphine
This paper examines the determinants of the time it takes for an index options market to be brought back to efficiency … after put-call parity deviations, using intraday transactions data from the French CAC 40 index options over the August 2000 …, trading volume as well as trade imbalances in call and put options, and volatility are important in understanding why some …
Persistent link: https://www.econbiz.de/10008572196
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A market for weather risk ? Worlds in conflict and compromising.
Huault, Isabelle; Rainelli-Le Montagner, Hélène - Université Paris-Dauphine
In this paper we study the development of the market for weather derivatives in Europe. We show that weather derivatives conceived as financial products by their promoters have difficulties finding end-users. We describe the attempts of market promoters using a framework drawn from economic...
Persistent link: https://www.econbiz.de/10008520033
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A market for weather risk ? Worlds in conflict and compromising.
Huault, Isabelle; Rainelli-Le Montagner, Hélène - Université Paris-Dauphine
In this paper we study the development of the market for weather derivatives in Europe. We show that weather derivatives conceived as financial products by their promoters have difficulties finding end-users. We describe the attempts of market promoters using a framework drawn from economic...
Persistent link: https://www.econbiz.de/10008532725