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Option valuation : analyzing and pricing standardized option contracts

Gibson, Rajna - 1991

Persistent link: https://www.econbiz.de/10000833372

La théorie des options au service de la gestion financière des entreprises

Gibson, Rajna - In: Die Unternehmung : Swiss journal of business research … 47 (1993) 3, pp. 225-230

Persistent link: https://www.econbiz.de/10001144297

Arbitrage trading and index option pricing at SOFFEX : an empirical study using daily and intradaily data

Chesney, Marc; Gibson, Rajna; Loubergé, Henri - 1994

Persistent link: https://www.econbiz.de/10000883101

Options, futures and stock market interactions : empirical evidence from the Swiss stock market

Bruand, Martin; Gibson, Rajna - 1996

Persistent link: https://www.econbiz.de/10000954650

The price of protection : derivatives, default risk, and margining

Gibson, Rajna; Murawski, Carsten - 2008

We investigate the effects of margining, a widely-used mechanism to attach collateral to derivatives contracts, on derivatives' trading volume, default risk, and on the welfare in the banking sector. First, we develop a stylized banking sector equilibrium model to derive a set of testable...