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Analysing bank-issued option pricing
Abad Díaz, David; Nieto Domenech, Belen - In: The European journal of finance 17 (2011) 1/2, pp. 49-65
Persistent link: https://www.econbiz.de/10009155464
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Derivatives and Default Risk
Scholz, Sebastian - 2010
is less likely to be bailed out, the effect on upstream profits is ambiguous while consumers loose. Options are less … welfare increasing than forwards, but the difference is minimal. In the presence of bankruptcy, options are the preferred …
Persistent link: https://www.econbiz.de/10010427577
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When did the options market in Enron lose its' smirk?
Mizrach, Bruce - 2002
The Enron Corporation went from a $65 billion dollar market capitalization to bankruptcy in just 16 months. Using statistical techniques for extracting the implied probability distributions built into option prices, I examine the market's expectation of Enron's risk of collapse. I find that the...
Persistent link: https://www.econbiz.de/10010318377
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Derivatives and default risk
Scholz, Sebastian - 2010
is less likely to be bailed out, the effect on upstream profits is ambiguous while consumers loose. Options are less … welfare increasing than forwards, but the difference is minimal. In the presence of bankruptcy, options are the preferred …
Persistent link: https://www.econbiz.de/10003951795
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Estimating probability distributions of future asset prices : empirical transformations from option-implied risk-neutral to real-world density functions
Vincent-Humphreys, Rupert de; Noss, Joseph - 2012
Persistent link: https://www.econbiz.de/10009559811
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The impact of weekly options on stock returns and volatility
Cai, Francis; Xu, LianZan; Chen, Haiyang; Zhang, Ge - In: The international journal of finance 26 (2014) 1, pp. 52-64
Persistent link: https://www.econbiz.de/10010513612
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Do Aussie markets smile? : implied volatility functions and determinants
Tanha, Hassan; Dempsey, Michael - In: Applied economics 47 (2015) 28/30, pp. 3143-3163
Persistent link: https://www.econbiz.de/10011289355
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Psychology, stock/FX trading and option prices
Beilis, Alan; Dash, Jan W.; Volkman Wise, Jacqueline - In: The journal of behavioral finance : a publication of … 15 (2014) 3, pp. 251-268
Persistent link: https://www.econbiz.de/10011303205
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Implied idiosyncratic volatility and stock return predictability
Mateus, Cesario; Konsilp, Worawuth - In: Journal of mathematical finance 4 (2014) 5, pp. 338-352
Persistent link: https://www.econbiz.de/10011312407
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The relationship between conditional value at risk and option prices with a closed-form solution
Mitra, Sovan - In: The European journal of finance 21 (2015) 4/6, pp. 400-425
Persistent link: https://www.econbiz.de/10010528975