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Liquidity Effect in OTC Options Markets : Premium or Discount?

Deuskar, Prachi - 2010

illiquid options trade at higher prices relative to liquid options. This liquidity discount, though opposite to that found in …

Persistent link: https://www.econbiz.de/10012760727

An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps

Gupta, Anurag - 1998

This paper examines the convexity bias introduced by pricing interest rate swaps off the Eurocurrency futures curve and the market's adjustment of this bias in prices over time. Theconvexity bias arises because of the difference between a futures versus a forward contract on interest rates,...

Persistent link: https://www.econbiz.de/10012790378

Arbitrage Restrictions and Multi-Factor Models of the Term Structure of Interest Rates

Stapleton, Richard C. - 1998

value options on bonds and swaps or to generate term structure scenarios for the risk management of portfolios of interest …

Persistent link: https://www.econbiz.de/10012790379

An Arbitrage-Free Two-Factor Model of the Term Structure of Interest Rates : A Multivariate Binomial Approach

Peterson, Sandra - 1998

rate caps and floors. We illustrate the use of the model by pricing American-style and Bermudan-style options on interest …

Persistent link: https://www.econbiz.de/10012790381

The Economic Determinants of Interest Rate Option Smiles

Deuskar, Prachi - 2007

We address three questions relating to the interest rate options market: What is the shape of the smile? What are the … a clear smile pattern in interest rate options. The shape of the smile varies over time and is affected in a dynamic …

Persistent link: https://www.econbiz.de/10012730291

Why do investors buy sovereign default insurance?

Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016

We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...

Persistent link: https://www.econbiz.de/10011541794

How do insiders trade?

Augustin, Patrick; Brenner, Menachem; Grass, Gunnar; … - 2016

We characterize how informed investors trade in the options market ahead of corporate news when they receive private … litigation cases with insiders being more likely to trade in options that offer higher expected returns. Second, pre …-announcement patterns in unusual activity in the options market ahead of significant corporate news are consistent with the predictions of …

Persistent link: https://www.econbiz.de/10011541795

When does strategic debt service matter?

Acharya, Viral V.; Huang, Jing-zhi; Subrahmanyam, Marti G. - 2002

Recent work has suggested that strategic underperformance of debt-service obligations by equity holders can resolve the gap between observed yield spreads and those generated by Merton (1974)-style models.(...)

Persistent link: https://www.econbiz.de/10005846831

Credit risk and the yen interest rate swap market

Eom, Young Ho; Subrahmanyam, Marti G.; Uno, Jun - 2000

In this paper, we investigate the pricing of Japanese yen interest rate swaps during the period 1990-96. We obtain measures of the spreads of the swap rates over comparable Japanese Government Bonds (JGBs) for different maturities and analyze the relationship between the swap spreads and credit...

Persistent link: https://www.econbiz.de/10005846834

Informed options strategies before corporate events

Augustin, Patrick; Brenner, Menachem; Grass, Gunnar; … - 2022

We analyze how informed investors trade in the options market ahead of corporate news when they receive private, but … options trading strategies (option type, maturity, and strike price) based on their maximum attainable leverage when price … impact the optimal choice of option moneyness and tenor. …

Persistent link: https://www.econbiz.de/10013339584