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Contingent claims and market completeness in a stochastic volatility model
Romano, Marc; Touzi, Nizar - 1993
Persistent link: https://www.econbiz.de/10000874372
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Il mercato azionario
Caparrelli, Franco - 1995 - 1. ed
Persistent link: https://www.econbiz.de/10000960606
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The term structure of implied probability and investment strategies in the KOSPI200 options market
Kim, Moo-sung; Kang, Tae-hun - In: Ōsaka Daigaku keizaigaku 57 (2008) 4, pp. 62-83
Persistent link: https://www.econbiz.de/10003739668
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The model-free implied volatility and its information content
Jiang, George J.; Tian, Yisong Sam - In: The review of financial studies 18 (2005) 4, pp. 1305-1342
Persistent link: https://www.econbiz.de/10003352823
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Paul Samuelson and financial economics
Merton, Robert C. - In: The American economist : journal of Omnicron Delta … 50 (2006) 2, pp. 9-31
Persistent link: https://www.econbiz.de/10003429297
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The value of tradeability
Chesney, Marc; Kempf, Alexander - 2010
This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is...
Persistent link: https://www.econbiz.de/10008666521
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Stock and option market divergence in the presence of noisy information
Chen, Carl R.; Diltz, J. David; Huang, Ying; Lung, Peter P. - In: Journal of banking & finance 35 (2011) 8, pp. 2001-2020
Persistent link: https://www.econbiz.de/10009247354
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The value of tradeability
Chesney, Marc; Kempf, Alexander - 2011
This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is...
Persistent link: https://www.econbiz.de/10009314017
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Hedging efficiency in the Greek options market before and after the financial crisis of 2008
Shackleton, Mark B.; Voukelatos, Nikolaos - In: Journal of multinational financial management 23 (2013) 1/2, pp. 1-18
Persistent link: https://www.econbiz.de/10009728527