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Financial history and financial economics

Turner, John D. - 2014

This essay looks at the bidirectional relationship between financial history and financial economics. It begins by giving a brief history of financial economics by outlining the main topics of interest to financial economists. It then documents and explains the increasing influence of financial...

Persistent link: https://www.econbiz.de/10010352024

A quantitative mirror on the Euribor market using implied probability density functions

de Vincent-Humphreys, Rupert; Puigvert Gutiérrez, … - 2010

the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete … history of Euribor futures options, thus comprising over ten years of daily data, from 13 January 1999 onwards. Time series of …

Persistent link: https://www.econbiz.de/10011605327

Three-point volatility smile classification: Evidence from the Warsow Stock Exchange during volatile summer 2011

García-Machado, Juan J.; Rybczyński, Jarosław - In: Investigaciones Europeas de Dirección y Economía de … 21 (2015) 1, pp. 17-25

investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on … volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study …

Persistent link: https://www.econbiz.de/10011984997

Performance of two zero-cost derivative strategies under different market conditions

Basson, L. J.; van den Berg, Lee; van Vuuren, Gary - In: Cogent Economics & Finance 6 (2018) 1, pp. 1-17

options and the sale of two put options. By choosing appropriate strikes, this assembly may also be structured such that it …

Persistent link: https://www.econbiz.de/10011988867

Equilibrium Valuation of Options on the Market Portfolio with Stochastic Volatility and Return Predictability

Cao, Melanie - 1997

This paper uses an extension of the equilibrium model of Lucas (1978) to study the valuation of options on the market … process for aggregate dividend. Closed-form pricing formulas for options on the market portfolio incorporate both stochastic …-Ingersoll-Ross (1985) model. In this sense, the current model provides a consistent way to price options written on the market portfolio …

Persistent link: https://www.econbiz.de/10011940600

Determining Values Using Options Contracts

Seiglie, Carlos; Xiang, Jun - In: Asian Journal of Law and Economics 8 (2016) 1

Abstract This paper presents a simple mechanism for allocating a single good in partnership dissolution. Since in the areas of probate, family, partnership and bankruptcy law the establishment of the value of assets is essential this mechanism can be useful. We illustrate its application for the...

Persistent link: https://www.econbiz.de/10014585164

Monetary Policy When the Nominal Short-Term Interest Rate is Zero

Clouse, James; Henderson, Dale; Orphanides, Athanasios; … - In: Topics in Macroeconomics 3 (2003) 1

intervention in foreign exchange; lending through the discount window; and, in some circumstances, may include the use of options. …

Persistent link: https://www.econbiz.de/10014588353

Pricing Legal Options: A Behavioral Perspective

Bar-Gill, Oren - In: Review of Law & Economics 1 (2005) 2, pp. 204-240

Many legal rules can be interpreted as creating options. Option pricing is thus important for understanding the ex ante …

Persistent link: https://www.econbiz.de/10014618380

Dynamic Decision Making in Agricultural Futures and Options Markets

Mattos, Fabio; Garcia, Philip; Pennings, Joost M.E. - 2008

This paper investigates the dynamics of sequential decision-making in agricultural futures and options markets …

Persistent link: https://www.econbiz.de/10009443345

VALUE AT RISK: AGRICULTURAL PROCESSOR PROCUREMENT AND HEDGING STRATEGIES

Hawes, Cullen R.; Wilson, William W.; Dahl, Bruce L. - 2005

Agricultural firms that use Value at Risk (VaR) tend to be the large diversified corporations. The benefits of VaR in the agricultural industry are not limited to large conglomerates; however, and this study provides empirical examples of how mid to large sized commodity end-users can use VaR to...

Persistent link: https://www.econbiz.de/10009443974