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Individual investors and suboptimal early exercises in the fixed-income market
Eickholt, Mathias; Entrop, Oliver; Wilkens, Marco - 2014
This paper is the first to analyze and value early exercises of Individual Investors in fixed-income investment products. Assuming decision and transaction costs we consider that a continuous decision-making on holding or exercising is not optimal anymore and propose a new approach to modeling...
Persistent link: https://www.econbiz.de/10010412103
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Individual Investors and Suboptimal Early Exercises in the Fixed-Income Market
Eickholt, Mathias - 2018
This paper is the first to analyze and value early exercises of Individual Investors in fixed-income investment products. Assuming decision and transaction costs we consider that a continuous decision-making on holding or exercising is not optimal anymore and propose a new approach to modeling...
Persistent link: https://www.econbiz.de/10012937780
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Total Börse! : machen Sie mehr aus Ihrem Geld
Zimmermann, Hugo - 2007 - 5., überarb. und erw. Aufl.
Persistent link: https://www.econbiz.de/10003375277
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Innovative financial instruments and investors' interest in Indian securities markets
Panda, Pradiptarathi - In: Asia Pacific financial markets 30 (2023) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10014251540
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Finanznachrichten lesen - verstehen - nutzen : ein Wegweiser durch Kursnotierungen und Marktberichte
Beike, Rolf; Schlütz, Johannes - 2024 - 7. Auflage
Persistent link: https://www.econbiz.de/10014437535
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Derivatives Traders’ Reaction to Mispricing in the Underlying Equity
Hayunga, Darren K. - 2012
This article examines trading behavior in the options market conditioned on mispricing in the underlying stock. We investigate the price equilibrium between the observed equity asset and the options-implied synthetic share as well as the relative divergence between the two prices. We find a...
Persistent link: https://www.econbiz.de/10013116041
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The Role of Financial Investors in Determining the Commodity Futures Risk Premium
Isleimeyyeh, Mohammad - 2020
I develop and test a model to study the interaction between the commodity and stock markets. This study attempts to clarify the debate about the effect of financialization on commodity markets. Theoretically, the futures risk premium is determined by hedging pressure, stock market returns, and...
Persistent link: https://www.econbiz.de/10012851801
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Winners, Losers, and Regulators in a Derivatives Market Bubble
Li, Xindan - 2020
We use proprietary brokerage data to study trading patterns within a well-known financial market bubble: that in the Chinese warrants market. Persistently successful investors traded very actively and exhibited characteristics of de facto market makers. Unskilled investors unprofitably...
Persistent link: https://www.econbiz.de/10012852960
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Option Pricing when Investors are (Only) Sufficiently Rational
Siddiqi, Hammad; Murphy, Austin - 2021
This research adapts the Black-Scholes option pricing model that is widely used in practice to a world where investors only form sufficiently rational expectations (expectations that deviate from perfection without creating arbitrage opportunities). Within the no-arbitrage interval of market...
Persistent link: https://www.econbiz.de/10013249481
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Limits of Arbitrage and Primary Risk Taking in Derivative Securities
Tian, Meng; Wu, Liuren - 2021
Classic option pricing theory values a derivative contract via dynamic replication, and views the derivative as … reducing the risk in derivative investments, the remaining risk can still be large and significant due to practical limits of … arbitrage. Because of these limits, derivative securities can play primary roles in risk allocation and investors can demand …
Persistent link: https://www.econbiz.de/10013244989