Showing 1 - 10 of 17
his paper examines the monthly interrelation of option volume and price return for actively traded Frankfurt Stock Exchange stocks and their European Derivatives Exchange traded options during the trading period of May to August 2002. The purpose is to investigate whether microfinance...
Persistent link: https://www.econbiz.de/10012910724
In this article, we are going to analyze the redistribution of incomes from the derivative market to the poors. The purpose is to create money funds that help the poors, the beggars and any persons that are financially in a minority group. The various problems of Africa would be addressed within...
Persistent link: https://www.econbiz.de/10012890411
In this article, we test the backwardation and contango effects on a 3 – month Eurodollar futures contract by applying a vector error correction, VEC, model. Backwardation is a case where the futures price is below the spot price. It takes place when there is advantage to hold the underlying...
Persistent link: https://www.econbiz.de/10012890424
We analyze the implied volatility smile of a lognormal distribution on a 3 – month Lundbeck call option contract using the Brownian motion. There is significant time variation in the implied volatility smile and the traditional Black – Scholes model can not explain this deviation. The Black...
Persistent link: https://www.econbiz.de/10012890737
We analyze the implied volatility smile of a lognormal distribution on a 3 – month Danske bank call option contract using the option delta. There is significant time variation in the implied volatility smile and the traditional Black – Scholes model can not explain this deviation. The Black...
Persistent link: https://www.econbiz.de/10012890742
Credit derivative swap of the Greek market is a financial instrument the value of which is derived from an underlying market value incorporating the credit risk of a bond or a loan. They are used to hedge, to speculate on the spreads through arbitrage. The premium that is incorporated in the...
Persistent link: https://www.econbiz.de/10012890759
This book is designed to provide an overview and introduction to the financial derivatives. Derivatives are a very complicated subject in terms of mathematics and understanding, so it becomes very important to use simple definition and basic mathematics. A lot of students and especially the one...
Persistent link: https://www.econbiz.de/10012898048
We analyze the gamma effect on a call Nordea option delta and how a hedge position is achieved. There is significant time variation in the gamma effect on a call Nordea option delta and the traditional Black – Scholes model can not explain this deviation. The Black – Scholes model is used to...
Persistent link: https://www.econbiz.de/10013232485
In this article, we test the implied volatility of a credit risk of a bond, an interest rate swap and a swaption of well known Swedish bank such as the Nordea bank. To minimize the interest and the credit risk of the contract the interest rate swap is linked to an option. The integration of an...
Persistent link: https://www.econbiz.de/10013232494
In this article, we analyze the put call parity formula on a 3 month OMX Stockholm 30 index option contract to show any evidence of arbitrage. The put – call parity shows the relationship between a call and a put option with the same expiration, strike and share prices. Price differentials...
Persistent link: https://www.econbiz.de/10013232500