This study investigates the announcement effects of offerings of convertible bond loans and warrant-bond loans using data for the Dutch market. Using standard event study methodology it is found that on average stock prices show a positive but insignificant abnormal return for the announcement...

In this paper we use the put-call parity to calculate the premium for early exercise of put options on the DAX index. Because this is a performance index, it is not necessary to separate this premium from the early exercise premium of a call option. We find the early exercise premium of a put...

We investigate the efficiency of the market for 5 year call options which are traded on the European Options Exchange in Amsterdam. We study both delta, delta-vega, and delta-gamma neutral arbitrage portfolios. We do not detect any serious inefficiencies in the market for Dutch long term call...

This paper investigates the pricing of Dutch index warrants. It is found that when using the historical standard deviation as an estimate for the volatility, the Black and Scholes model underprices all put warrants and call warrants on the FT-SE 100 and the CAC 40, while it overprices the call...

Existing research on the hedging effectiveness of currency futures assumes that futures positions are continuously adjusted. This is an unrealistic assumption in practice. In this paper we study the hedging effectiveness for futures positions which are not adjusted during the hedge period. For...

This paper investigates the pricing of Dutch index warrants. It is found that when using the historical standard deviation as an estimate for the volatility, the Black and Scholes model underprices all put warrants and call warrants on the FT-SE 100 and the CAC 40, while it overprices the...