This paper presents a simple manipulation that (i) reduces the two numerical integrations needed to compute option prices using fourier inversion into a single numerical integration and (ii) reduces the number of characteristic function evaluations needed to obtain a given level of accuracy. The...

In this paper, we develop a dynamic model of institutional share dumping surrounding control events. Uninformed institutional investors dump shares, despite trading losses, in order to manipulate share prices and trigger activism by activist quot;relationshipquot; investors. Nonactivist...

This paper obtains equilibrium interest rate option prices for discontinuous short-term interest rate processes. The prices are first obtained for a general distribution of jump sizes using a process with a number of fixed sized jumps. The option price is the expectation, over the number and...

Bond and option prices contain information on the future distribution of the state variables related to interest rates at multiple horizons based on the maturity/expiration of the assets. This study uses the information contained in Eurodollar futures and futures options prices to make...

In this paper, we develop a dynamic model of institutional share dumping surrounding control events. Institutional investors sometimes dump shares, despite trading losses, in order to manipulate share prices and trigger activism by quot;relationshipquot; investors. These institutional investors...