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Pricing Derivatives Under A Gains Tax Regime: New Impacts
Wöster, Christoph - 2006
Three years after the seminal work of Black and Scholes on the pricing of European options, Scholes presented a paper in which the impact of taxation on the value of an option is analyzed. We restart this discussion in a simple binomial setting emphasizing the economic principles of replicating...
Persistent link: https://www.econbiz.de/10009452631
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Pricing and hedging derivative securities in a regime-switching model with state-dependent jumps
Lee, Michael Shou-Cheng, Banking & Finance, Australian … - 2007
In this thesis we discuss option pricing and hedging under regime switching models. To the standard model we add jumps … hedging options under finitely many regime states and with finitely many possible jump sizes. We find risk-free hedge …
Persistent link: https://www.econbiz.de/10009484250
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Dynamic semiparametric factor models
Borak, Szymon - 2008
resultierende Faktor-Hedging von Barrier Optionen gerichtet. … volatility dynamics and resulting factor hedging of barrier options. …
Persistent link: https://www.econbiz.de/10009467069
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Beitr?ge zum Risikomanagement in Wertsch?pfungsnetzwerken
Wiesent, Julia - 2011
Eine langfristige und nachhaltige Steigerung des Unternehmenswerts als zentrales Unternehmensziel fordert eine konsequente, wertorientierte Ausrichtung aller Unternehmensteile und -aktivit?ten. Das Risikomanagement, welches stets im Rahmen einer integrierten Betrachtung von Ertrags- und...
Persistent link: https://www.econbiz.de/10009482328
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Theoretical and Practical Aspects of Algorithmic Trading
Fränkle, Jan - 2010
At today's stock markets, most of the trading volume is traded electronically. Thus, also many market participants execute their order flow automatically with the help of trading algorithms. Hence, several important aspects concerning algorithmic trading are discussed. One of the main topics of...
Persistent link: https://www.econbiz.de/10009434653
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Intraday volume and volatility relations with and without public news
Darrat, A.; Zhong, M.; Cheng, L. - 2007
This paper reexamines the dynamic relation between intraday trading volume and return volatility of large and small NYSE stocks in two partitioned samples, with and without identifiable public news. We argue that the sequential information arrival hypothesis (SIAH) can be tested only in periods...
Persistent link: https://www.econbiz.de/10009448126
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Regulierung internationaler Finanzmärkte durch Transaktionssteuern : die Wirkung einer Tobin-Steuer auf Handelsvolumen und Wechselkursvolatilität
Haberer, Markus - 2006
Untersuchungsziel dieser finanzwissenschaftlichen Arbeit ist die Wirkung einer Tobin-Steuer als spezielle Transaktionssteuer auf das Devisen-Handelsvolumen und die Wechselkursvolatilität. Ausgangspunkt bildet das mikroökonomische Investitionsverhalten der Marktteilnehmer, das wir mit Hilfe von...
Persistent link: https://www.econbiz.de/10009471738
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Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions
Lin, Cheng-I Eric - 2007
When a stock is added into the S&P 500 Index, it is automatically "cross-listed" in the index derivative markets (i … volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected … (sell) the index portfolio and take short (long) positions in the corresponding index derivative contracts until prices …
Persistent link: https://www.econbiz.de/10009475070
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Nonlinear Dynamic Structures
Gallant, A. Ronald; Rossi, Peter E.; Tauchen, George - 1993
The paper develops an approach for analyzing the dynamics of a nonlinear time series that is represented by a nonparametric estimate of its one-step ahead conditional density. The approach entails examination of conditional moment profiles corresponding to certain shocks; a conditional moment...
Persistent link: https://www.econbiz.de/10009475493
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Essays on the Impact of Investors Speculation and Disagreements on Security Prices and Trading Volume
Choy, Siu Kai - 2011
The essays empirically show the impact of investors speculation and disagreements on the returns and trading volume of securities. The results also shed light on the central issues of price formation and investors’ trading motives in security markets.The first essay investigates whether the...
Persistent link: https://www.econbiz.de/10009455359