Download or read book Evidence on the Arbitrage Efficiency of SPI Index Futures and Option Markets written by Steven Li and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Evidence on the Arbitrage Efficiency of SPI Index Futures and Options Markets written by Steven Li and published by . This book was released on 2005 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Arbitrage Efficiency of Nikkei 225 Options Market written by Steven Li and published by . This book was released on 2006 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is concerned with arbitrage efficiency of the Nikkei index option contracts traded on the Osaka Securities Exchange (OSE) within the put-call parity (PCP) framework. A thorough ex post analysis is first carried out. The results reveal a modest number of violations with 2.74% of the sample breaching the PCP equation and an average arbitrage profit of 22.61 index points for OSE member firms during the sample period (2003-05). Ex ante tests are then conducted whereby ex post profitable arbitrage strategies, signified by the matched put and call contracts, are executed with lags of 1 minute and 3 minutes. The ex ante results reveal that the number of profitable arbitrage opportunities and the average profit are both reduced significantly with an execution lag. In addition, regression analysis is used to provide further evidence about the PCP and arbitrage profitability. Overall, there is no strong evidence found against the efficiency of the Nikkei 225 options market, though arbitrage opportunities do exist occasionally.--Author's abstract.
Download or read book Arbitrage and Efficiency in the Stock Index Futures and Options Markets written by Joel Stuart Sternberg and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Monetary and Economic Studies written by and published by . This book was released on 2006-03 with total page 522 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Information Transfer Microstructures and Arbitrage in Related Stock and Futures Markets written by Allan Clement Hodgson and published by . This book was released on 1995 with total page 588 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Bank of Japan Monetary and Economic Studies written by and published by . This book was released on 2006 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Program Trading written by Kevin F. Winch and published by . This book was released on 1987 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Index Options futures Arbitrage written by Joseph K. W. Fung and published by . This book was released on 2000 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book How Electronic Trading Affects Bid ask Spreads and Arbitrage Efficiency Between Index Futures and Options written by Kevin Cheng (H. K.) and published by . This book was released on 2004 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Arbitrage and Efficiency in the Stock Index Futures and Options Marktes written by Joel S. Sternberg and published by . This book was released on 1986 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Derivatives Risk Management Value written by Mondher Bellalah and published by World Scientific. This book was released on 2010 with total page 996 pages. Available in PDF, EPUB and Kindle. Book excerpt: 19.1. Numerical analysis and simulation techniques : an introduction to finite difference methods. 19.2. Application to European options on non-dividend paying stocks. 19.3. Valuation of American options with a composite volatility. 19.4. Simulation methods : Monte-Carlo method. ch. 20. Numerical methods and partial differential equations for European and American derivatives with complete and incomplete information. 20.1. Valuation of American calls on dividend-paying stocks. 20.2. American puts on dividend-paying stocks. 20.3. Numerical procedures in the presence of information costs : applications. 20.4. Convertible bonds. 20.5. Two-factor interest rate models and bond pricing within information uncertainty. 20.6. CBs pricing within information uncertainty -- pt. VIII. Exotic derivatives. ch. 21. Risk management : exotics and second-generation options. 21.1. Exchange options. 21.2. Forward-start options. 21.3. Pay-later options. 21.4. Simple chooser options. 21.5. Complex choosers. 21.6. Compound options. 21.7. Options on the maximum (minimum). 21.8. Extendible options. 21.9. Equity-linked foreign exchange options and quantos. 21.10. Binary barrier options. 21.11. Lookback options. ch. 22. Value at risk, credit risk, and credit derivatives. 22.1. VaR and riskmetrics : definitions and basic concepts. 22.2. Statistical and probability foundation of VaR. 22.3. A more advanced approach to VaR. 22.4. Credit valuation and the creditmetrics approach. 22.5. Default and credit-quality migration in the creditmetrics approach. 22.6. Credit-quality correlations. 22.7. Portfolio management of default risk in the Kealhofer, McQuown and Vasicek (KMV) approach. 22.8. Credit derivatives : definitions and main concepts. 22.9. The rating agencies models and the proprietary models.
Download or read book Efficiency in Index Options Markets and Trading in Stock Baskets written by Lucy F. Ackert and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Researchers have reported mispricing in index options markets. This study further examines the efficiency of the Samp;P 500 index options market by testing theoretical pricing relationships implied by no-arbitrage conditions. The effect of a traded stock basket, Standard and Poor's Depository Receipts (SPDRs), on the link between index and options markets is also examined. Pricing efficiency within options markets improves, and the evidence supports the hypothesis that a stock basket enhances the connection between markets. However, when transactions costs and short sales constraints are included, very few violations of the pricing relationships are reported.
Download or read book Bid ask Spread and Arbitrage Profitability written by Kee-hong Bae and published by . This book was released on 1996 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Arbitrage Tests of the Efficiency of the Currency Futures Options Market written by Eric C. Seale and published by . This book was released on 1986 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Study of Arbitrage Efficiency Between the FTSE 100 Index Futures and Options Contracts written by Paul Draper and published by . This book was released on 2001 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Pricing Efficiency in the Long term Index Options Market written by Anuradha Kandikuppa and published by . This book was released on 1999 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt:
