Results 221 to 230 of about 133,645 (263)

Market performance of options on the Chicago board options exchange

Journal of Business Research, 1979
Abstract Unproven assertions about potential option returns have accompanied increased interest in option trading since formation of the CBOE. This paper presents an analysis of return distributions from buying and selling CBOE options. Generally, buying options resulted in returns that were negative and lower than returns from buying the underlying ...
Rodney L. Roenfeldt, Philip L. Cooley, Michael J. Gombola   +2 more
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Direct Exchange Mechanisms for Option Pricing

2015
This paper presents the design and simulation of direct exchange mechanisms for pricing European options. It extends McAfee’s single-unit double auction to multi-unit format, and then applies it for pricing options through aggregating agent predictions of future asset prices.
Sarvar Abdullaev, Peter McBurney, Katarzyna Musial   +2 more
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Too Many Options? Theory and Evidence on Option Exchange Design

SSRN Electronic Journal, 2004
In this paper I propose and test a model of option exchange design when investors choose among several exchange-traded options based on a trade-off between standardization costs and liquidity/transaction costs. The model employs a spatial economics approach to provide results for the existence of markets for particular option contracts on the exchange,
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Bond Power Exchange Options

SSRN Electronic Journal, 2021
We study power exchange options written on zero-coupon bonds under a stochastic string frame- work. We obtain closed-form expressions for pricing and hedging bond power exchange options and, as particular cases, the corresponding expressions for call power options and constant underlying elasticity in strikes (CUES) options.
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The Amsterdam options exchange in 1998:

European Management Journal, 2001
Abstract In the great share price setbacks of 1987 and 1998, financial authorities, in The Netherlands, as elsewhere in the world, adopted policies to stabilise financial markets. The Dutch response was effective in the former case but, in the latter instance, the actions of authorities magnified problems, especially for equity options markets.
André Dorsman, Adrian Buckley
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Structure of Exchange-Traded Options Markets

1991
In this chapter, I will examine how exchange-traded options markets function. Initially, I will explain the role of the clearing house and the mechanics of margining at a typical futures and options exchange. Then, I will examine in detail the structure of four option markets that have different structures: the Philadelphia Stock Exchange, the European
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Canada's Exchange Rate Options

Canadian Public Policy / Analyse de Politiques, 1999
anada has had a flexible exchange rate continuously in place for the better part of three decades. A great deal has changed in the interim, including our understanding of the economics of monetary policy; and a new debate about the relevant issues is surely welcome.
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Numerical pricing of exchange option with stock liquidity under Bayesian statistical method

Communications in Statistics - Theory and Methods, 2022
Rui Gao
exaly  

Pricing of Compound Exchange Options

Finance Research Letters
Patrícia Becsky-Nagy, János Száz, Ágnes Vidovics-Dancs, Kata Váradi   +3 more
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Foreign exchange quanto options [PDF]

, 2008
A quanto option can be any cash-settled option, whose payoff is converted into a third currency at maturity at a pre-specified rate, called the quanto factor. There can be quanto plain vanilla, quanto barriers, quanto forward starts, quanto corridors, etc. The valuation theory is covered for example in [3] and [1].
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