Download or read book Early Unwinding Strategy in Index Options Futures Arbitrage written by Louis T. W. Cheng and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We first re-examine buy-and-hold arbitrage strategies using both ex-post and ex-ante index options and futures data in Hong Kong. The results show that the arbitrage profit is not large enough to cover the transaction costs for both individual and institutional investors. Second, we find that, when an early unwinding strategy is employed, the arbitrage profit improves significantly under an ex-post analysis but only improves slightly under an ex-ante analysis. In addition, opportunities for same-day unwinding are very limited. Finally, our regression results indicate that the magnitude of the arbitrage profit is positively related to the volatility of the stock market.
Download or read book Early Unwinding Strategy in Index Options futures Arbitrage written by Louis T. W. Cheng and published by . This book was released on 1998 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Early Unwinding of Options futures Arbitrage with Bid ask Quotations and Transaction Prices written by Joseph K. W. Fung and published by . This book was released on 2002 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Early Unwinding of Futures Arbitrage written by Gilles B. Desvilles and published by . This book was released on 2009 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Cost of Carry Model posits that the price of a term contract is worth its underlying plus the cost of its carry minus its revenues. But when the contract is a future it is endowed with a pre-settlement feature and we show that it is proper to adjust the future price with the value of an implicit option said of early unwinding.In the presence of market bid-ask spreads, the option assimilates to either a call on a cash and carry position, or a put on the reverse position. With this option the no-pure-arbitrage range where the future freely fluctuates is narrower than the corresponding forward bid-ask spread, which means that future prices dominate forward prices. Our model respects future fungibility, fully characterizes the underlying synthetic asset of the option, and relies only on proved results.We value numerically the early unwinding option by risk-neutral valuation on a tree. For the short future maturities, the price in absence of transaction costs decreases significantly when these costs are introduced, but for long maturities the option price remains high. In some cases it is even so high that the futures becomes inefficient by continuously offering pure arbitrage opportunities.
Download or read book The Value of the Early Unwind Option in Futures Contracts with an Endogenous Basis written by Wolfgang Bühler and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper the implicit early unwind option of a risk-neutral arbitrageur is valued. The problem is analyzed in a market microstructure framework where four different groups of market participants interact. Within this model the equilibrium price relationship between stock and futures markets is determined. Since the underlying of the option is influenced by arbitrage trading, the underlying of the option depends, contrary to standard option theory, on the unwind option itself. The non-Markovian stochastic process of the basis is characterized, and the results of an extensive comparative static analysis of the option value are presented.
Download or read book A Comparsion Between an Ex ante and Ex post Test of Early Unwinding Strategy in Put call futures Arbitrage written by Wai Sun Pang and published by . This book was released on 1998 with total page 212 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 Stock Index Futures written by Charles M.S. Sutcliffe and published by Routledge. This book was released on 2018-01-18 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.
Download or read book Mathematical Models of Financial Derivatives written by Yue-Kuen Kwok and published by Springer Science & Business Media. This book was released on 2008-07-10 with total page 541 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.
Download or read book Trading Analysis of November 15 1991 written by United States. Securities and Exchange Commission. Division of Market Regulation and published by . This book was released on 1992 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Derivatives and Equity Portfolio Management written by Bruce M. Collins and published by John Wiley & Sons. This book was released on 1999-01-15 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt: Frank Fabozzi and Bruce Collins fully outline the ins and outs of the derivatives process for equity investors in Derivatives and Equity Portfolio Management. A significant investment tool of growing interest, derivatives offer investors options for managing risk in a diversified portfolio. This in-depth guide integrates the derivatives process into portfolio management and is replete with applications from authors with extensive Wall Street experience. Whether you're and individual investor or portfolio manager seeking to improve investment returns, you'll quickly learn about listed equity contracts, using listed options in equity portfolio management, risk management with stock index futures, OTC equity derivatives-and profit from your new found knowledge.
Download or read book Finance written by R.A. Jarrow and published by Elsevier. This book was released on 1995-12-15 with total page 1204 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hardbound. The Handbook of Finance is a primary reference work for financial economics and financial modeling students, faculty and practitioners. The expository treatments are suitable for masters and PhD students, with discussions leading from first principles to current research, with reference to important research works in the area. The Handbook is intended to be a synopsis of the current state of various aspects of the theory of financial economics and its application to important financial problems. The coverage consists of thirty-three chapters written by leading experts in the field. The contributions are in two broad categories: capital markets and corporate finance.
Download or read book The Efficiency of Dynamic Trading Strategies in Imperfect Markets written by Harry M. Kat and published by . This book was released on 1993 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A First Class Catastrophe written by Diana B. Henriques and published by Macmillan + ORM. This book was released on 2017-09-19 with total page 409 pages. Available in PDF, EPUB and Kindle. Book excerpt: The definitive account of the crash of 1987, a cautionary tale of how the U.S. financial system nearly collapsed--from the bestselling author of The Wizard of Lies Monday, October 19, 1987, was by far the worst day in Wall Street history. The market fell 22.6 percent – almost twice as bad as the worst day of 1929 – equal to a one-day loss of nearly 5,000 points today. Black Monday was more than seven years in the making and threatened nearly every U.S. financial institution. Drawing on superlative archival research and dozens of original interviews Diana B. Henriques weaves a tale of missed opportunities, market delusions, and destructive actions that stretched from the “silver crisis” of 1980 to turf battles in Washington, a poisonous rivalry between the New York Stock Exchange and the Chicago Mercantile Exchange, and the almost-fatal success of two California professors whose idea for reducing market risk spun terribly out of control. As the story hurtles forward, the players struggle to forestall a looming market meltdown and unexpected heroes step in to avert total disaster. For thirty years, investors, regulators, and bankers have failed to heed the lessons of 1987, even as the same patterns have resurfaced, most spectacularly in the financial crisis of 2008. A First-Class Catastrophe offers a new way of looking not only at the past, but at our financial future as well.
Download or read book Journal of Banking Finance written by and published by . This book was released on 1994 with total page 1324 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Encyclopedia of the Stock Market written by Michael D. Sheimo and published by Dearborn Trade Publishing. This book was released on 1999 with total page 918 pages. Available in PDF, EPUB and Kindle. Book excerpt: First Published in 1999. Routledge is an imprint of Taylor & Francis, an informa company.
Download or read book Expiration Day Effects of Index Options and Futures written by Hans R. Stoll and published by . This book was released on 1987 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:
